UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
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Investment Company Act file number |
811-04367 |
Columbia Funds Series Trust I
(Exact name of registrant as specified in charter)
225 Franklin Street
Boston, Massachusetts 02110
(Address of principal executive offices) (Zip code)
Christopher O. Petersen, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, Massachusetts 02110
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: May 31
Date of reporting period: May 31, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please
direct comments concerning the accuracy of the information collection burden estimate
and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
Annual Report
May 31, 2020
May 31, 2020
Columbia Multi
Strategy Alternatives Fund
Beginning on January 1, 2021, as
permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you
specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified
by mail and provided with a website address to access the report.
If you have already elected to
receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically
at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging
into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future
reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you
invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia
Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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Columbia Multi Strategy
Alternatives Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one
report, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q or Form N-PORT (available for filings after March 31, 2019). The Fund’s Form N-Q or Form N-PORT is available on
the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
You may obtain the current net
asset value (NAV) of Fund shares at no cost by calling 800.345.6611 or by sending an e-mail to serviceinquiries@columbiathreadneedle.com.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors,
Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Multi Strategy Alternatives
Fund | Annual Report 2020
Fund at a Glance
Investment objective
The Fund
seeks to provide shareholders with absolute (positive) returns over a complete market cycle.
Portfolio management
Columbia Management Investment Advisers, LLC
Joshua Kutin, CFA
Matthew Ferrelli, CFA
Dan Boncarosky, CFA
Brian Virginia
Corey Lorenzen, CFA
Jason Callan
Tom Heuer, CFA
Ryan Osborn, CFA
AQR Capital Management, LLC
Jordan Brooks, Ph.D.
David Kupersmith
Lars Nielsen
Ashwin Thapar
QMA LLC
Marco Aiolfi, Ph.D.
Yesim Tokat-Acikel, Ph.D.
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share
classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and
fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee
waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
The Fund’s performance prior
to October 1, 2019 reflects returns achieved by the Investment Manager according to different principal investment strategies. If the Fund’s current management and strategies had been in place for the prior
periods, results shown may have been different.
The FTSE One-Month U.S. Treasury
Bill Index is an unmanaged index that represents the performance of one-month Treasury bills and reflects reinvestment of all distributions and changes in market prices.
HFRX Global Hedge Fund Index is
designed to be representative of the overall composition of the hedge fund universe.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Fund performance may be significantly
negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in
unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.
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Columbia Multi Strategy Alternatives Fund | Annual Report 2020
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Fund at a Glance (continued)
Performance of a hypothetical $10,000 investment (January 28, 2015 — May 31, 2020)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia Multi Strategy Alternatives Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund
distributions or on the redemption of Fund shares.
| Portfolio breakdown (%) (at May 31, 2020) | |
| Asset-Backed Securities — Non-Agency | 5.0 |
| Commercial Mortgage-Backed Securities - Agency | 0.2 |
| Commercial Mortgage-Backed Securities - Non-Agency | 5.3 |
| Money Market Funds | 39.1 |
| Options Purchased Puts | 0.0(a) |
| Residential Mortgage-Backed Securities - Agency | 24.8 |
| Residential Mortgage-Backed Securities - Non-Agency | 10.6 |
| Treasury Bills | 15.0 |
| Total | 100.0 |
| (a) | Rounds to zero. |
Percentages indicated are based upon
total investments including options purchased and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
(a) The Fund has market exposure
(long and/or short) to fixed income, commodity and equity asset classes and foreign currency through its investments in derivatives. The notional exposure of a financial instrument is the nominal or face amount that
is used to calculate payments made on that instrument and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional
exposures provide a gauge for how the Fund may behave given changes in individual markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated
Portfolio of Investments, and Note 2 of the Notes to Consolidated Financial Statements.
| 4 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Manager Discussion of Fund Performance
To reflect strategy enhancements
and broader diversification, the Fund was renamed as Columbia Multi Strategy Alternatives Fund effective August 1, 2019.
Columbia Management Investment
Advisers, LLC (CMIA) serves as the investment manager for the Fund and attempts to achieve the Fund’s objective by managing a portion of the Fund’s assets and selecting one or more subadvisers to manage
other sleeves independently of each other and CMIA. Effective September 24, 2019, subadvisers AQR Capital Management, LLC (AQR) and QMA LLC (QMA) each began managing a portion of the Fund. As of May 31, 2020, CMIA,
AQR and QMA managed approximately 50.3%, 25.5% and 24.2% of the portfolio, respectively.
For the 12 months that ended May
31, 2020, the Fund’s Class A shares returned -6.58% excluding sales charges. To compare, the FTSE One-Month U.S. Treasury Bill Index returned 1.57% and the HFRX Global Hedge Fund Index returned 2.95% over the
same time period. As an absolute return fund, it employs a benchmark agnostic strategy and therefore comparisons to the FTSE One-Month U.S. Treasury Bill Index and the HFRX Global Hedge Fund Index are for information
purposes only.
Market overview
The annual period ended May 31,
2020 saw a market environment that enjoyed positive absolute returns in many asset classes through its first eight months. Then, fears of the rippling effects of the global COVID-19 pandemic on the economy, on
corporate earnings and more began to impact investor sentiment and roil the markets in February 2020. The sell-off within the U.S. equity markets was swift, with the S&P 500 Index recording its fastest 30% decline
in history, taking only 22 trading days from the record high it had reached on February 19, 2020. The steep drop was followed by a 12.82% gain in April 2020, the best monthly return for the S&P 500 Index since
1987 and a 4.76% gain in May 2020.
Within the U.S. equity market,
there was a massive difference in performance between value and growth equities, with the Russell 1000 Growth Index posting a return of 26.25% as compared to the -1.64% return of the Russell 1000 Value Index for the
12-month period. International equities were weaker overall than U.S. equities. The MSCI EAFE Index (Net), representing developed international equities, posted a return of -2.81%, and emerging markets equities
struggled even more, with the MSCI Emerging Markets Index (Net) generating a return of -4.39%.
As U.S. equities sold off in the
first quarter of 2020, investors engaged in a “flight to quality,” and the fixed-income asset class overall outperformed equities both for the quarter and for the 12-month period. Indeed, more traditional
fixed-income returns were among the best in the capital markets. The Bloomberg Barclays Global Aggregate Index, a broad proxy for the global fixed-income market, posted a return of 5.59% for the 12-month period, led
by U.S. Treasuries. The Bloomberg Barclays Treasury Index rose 11.36% for the 12-month period. Securitized bonds and long maturity investment-grade corporate bonds also posted strong returns, as measured by the 6.02%
return of the Bloomberg Barclays MBS 15 Year Index and the Bloomberg Barclays U.S. Corporate Bond Index, which returned 10.03%. In contrast, high-yield corporate bonds and emerging markets bonds, like equities, posted
positive absolute returns through the first eight months of the period but then experienced significant losses. High-yield corporate bonds, as measured by the ICE BofA U.S. High Yield Constrained Index, edged out a
0.30% return and emerging markets bonds, as measured by the JPMorgan Emerging Markets Bond Index-Global, returned 1.65% for the period.
Returns of inflation-hedging asset
classes were mixed. Real estate investment trusts (REITs) posted strong returns for the first eight months of the period but subsequently gave back those gains and more, resulting in a -14.55% return for the FTSE
Nareit Equity REITs Index for the period. Commodities were also sharply negative, with the Bloomberg Commodity Index Total Return posting a -17.05% return over the annual period. Conversely, global inflation-linked
bonds, measured by the Bloomberg Barclays Global Inflation Linked Bond Index (Unhedged), returned 5.73% over the one-year period.
Fund changes
At the start of the 12-month
period, the Fund was managed entirely by CMIA. The Fund was transitioned from a core, liquid alternative risk premia-based strategy managed internally by CMIA, to a multi-manager strategy utilizing a combination of
six different internally and externally managed alternative investment strategies. The strategies managed by AQR and QMA are global macro investment strategies, using a blend of quantitative and fundamental analysis
and insights, with the aim of delivering strong risk-adjusted returns with low correlation to traditional asset classes.
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Columbia Multi Strategy Alternatives Fund | Annual Report 2020
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Manager Discussion of Fund Performance (continued)
CMIA: To begin the period, the Fund was 100% allocated to alternative beta strategies. Alternative beta strategies represent those strategies associated with the systematic risks embedded in
capital markets and are driven primarily by: 1) academically-supported forms of risk premia (e.g., value, momentum or quality) and 2) investor-based behavioral biases, industry needs, structures and constraints (e.g.,
short volatility or commodity curve). In implementing these alternative beta strategies, the Fund maintains a multi-asset class, multi-style portfolio invested across specific risk premia styles in equity, fixed
income, credit, currency, commodity and volatility-based strategies. Early in the period, however, we added three existing internal strategies to accompany a reduced weighting for the existing alternative beta
strategy. These internal strategies were intended to represent approximately 50% of assets in our portion of the Fund’s portfolio:
1. The Mortgage Opportunities strategy runs in a manner substantially similar to Columbia Mortgage Opportunities Fund, utilizing the same process, strategy and portfolio management team. The
strategy seeks total return, consisting of long-term capital appreciation and current income by investing across a broad spectrum of mortgage-related assets and asset backed securities, tactically allocating to
high-quality agency mortgage-backed securities as well as higher yielding non-agency residential and commercial mortgage backed securities and asset backed securities, all based on a value-driven process.
2. The G10 Currency strategy carries a long-standing process that seeks positive absolute return. Returns result from income produced by short-term debt obligations and currency-linked
derivatives based on value fluctuations of major foreign currencies relative to the dollar.
3. The Global Tactical Asset Allocation (GTAA) strategy is a rules-based, top-down multi-factor strategy designed to identify opportunities in liquid equity and fixed-income markets. It is
intended to be non-directional to underlying traditional markets. The strategy is run by the Columbia Threadneedle Global Asset Allocation team using models that are based on over two decades of research.
Contributors and detractors
The Fund’s portfolio
turnover for the 12-months ended May 31, 2020 was 789%.
CMIA: Several market factors contributed to our portion of the Fund’s negative performance during the 12-month period. The COVID 19 market sell-off, concerns related to Brexit (the
U.K.’s departure from the European Union), low interest rates that were down over the year, negative commodity performance and negative market dynamics within the structured asset markets created a tough
environment for our underlying mortgage strategy.
Our portion of the Fund had
positive contributions from its G10 Currency strategy, which is a long/short quantitative currency trading strategy, as well as from its GTAA strategy. Strategies within our portion of the Fund that detracted from
results during the 12-month period included the Alternative Risk Premia strategy, a multi-asset class, multi-style portfolio invested across specific risk premia styles in equity, fixed income, credit, currency,
commodity and volatility-based strategies, and the Mortgage Opportunities strategy.
AQR: We began managing a portion of the Fund’s portfolio on September 24, 2019. From that date through May 31, 2020, our portion of the Fund’s portfolio underperformed the FTSE
One-Month U.S. Treasury Bill Index and the HFRX Global Hedge Fund Index. Positive performance for the period was driven primarily by 2019 returns, particularly systematic equity and fixed-income strategies, which were
largely driven by value factors. These gains, however, were offset in the first quarter by losses in our systematic developed equity strategies. The final two months of the period were positive, bringing overall
performance for our reporting period to roughly flat, with asset level gains led by fixed income and equities.
Our Global Macro investment
strategy seeks to deliver strong risk-adjusted returns that can be diversifying to both traditional and alternative investments. We believe that financial markets tend to underreact to changes in macroeconomic
fundamentals. Our strategy tends to be positioned with long assets for which macroeconomic fundamentals are improving and short assets for situations where macroeconomic fundamentals are deteriorating. Macroeconomic
trends are evaluated across multiple dimensions, utilizing both quantitative and discretionary inputs. We consider momentum, value, carry and defensive indicators of attractiveness, as well as other signals in
security selection and trade in over 100 individual markets across approximately 30 countries.
| 6 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Manager Discussion of Fund Performance (continued)
Among systematic views, notable
contributors included developed yield curve strategies, particularly interest rate swap steepeners in the U.S. and U.K. against flatteners in the eurozone and Sweden, and emerging equity market strategies,
particularly relative value long exposure to Korean equities and short exposures to Singaporean and Thai equity markets. From a factor perspective, value and momentum contributed to performance.
For discretionary views, positive
performance came from positions spread across asset classes, such as fixed-income, currencies, equities and commodities. A discretionary U.S. steepened position added to returns as expectations for increased long-term
bond issuance pushed up longer term Treasury yields. A steepened position is a strategy that uses derivatives to hedge against a widening yield curve. Discretionary trading benefited in the recent environment as
defensive positioning initiated during the onset of the COVID-19 crisis became more positive on risk given the stimulus efforts from global fiscal and monetary authorities. The largest position-level contributors
during our reporting period were short exposure to the Norwegian krone, short exposure to eurozone and Swedish 2-year interest rates and long directional exposure to U.S. equities.
Within systematic views, developed
equity strategies were the largest detractors. Long positions in the eurozone and Spanish equities suffered losses as Europe became the epicenter of the COVID-19 pandemic in February and March 2020, resulting in
equity market underperformance relative to other regions. A relative value short in Swiss equities also detracted, as that market’s defensive composition and large pharmaceutical weight drove relative
outperformance. Tactical long positions in developed equity indexes detracted from returns in the first quarter of 2020 as the global spread of COVID-19 and associated economic disruptions led to a severe sell-off in
global equities. From a factor perspective, carry (notably in fixed income and currency strategies) and fundamental momentum (mostly in equity strategies) detracted, partially offset by gains from value and momentum
factors. The largest position-level detractors during the period were long exposure to Japanese interest rates, long exposure to German bonds and short exposure to Swiss equities.
The systematic components of our
Global Macro investment strategy determine desired positions by processing large quantities of economic and financial data on a daily basis. This process is meant to capture both idiosyncratic changes in country-level
fundamentals as well as broad shifts in the global economic environment. The emergence of COVID-19 in February and March 2020 impacted many quantitative signals, particularly those measuring trends in the business
cycle, macro sentiment and monetary policy. These developments resulted in a shift toward more negative directional views on commodities and more positive directional views on fixed income.
Similarly, discretionary views
responded to a number of qualitative catalysts during the period, but the emergence of the COVID-19 pandemic and associated economic impacts had the most profound influence on positioning, including a bearish view on
U.S. equities in February, short views on crude oil in March and April, bearish views on the Canadian dollar and British pound in March and U.S. yield curve steepeners in March, April and May.
QMA: We began managing a portion of the Fund’s portfolio on September 24, 2019. From that date through May 31, 2020, our portion of the Fund’s portfolio underperformed the FTSE
One-Month U.S. Treasury Bill Index and the HFRX Global Hedge Fund Index.
We believe that persistent return
opportunities are generated by risk premia and mispricings. Further, we believe that a systematic framework using a mix of fundamental and market-based factors can identify those investment opportunities. We use a
fundamental understanding of the drivers of returns to determine what we believe to be the most suitable set of factors for each asset class. We evaluate five factor categories (sentiment, valuation, risk/quality,
growth and carry) across global equity markets, fixed income, currencies and commodities. In our Global Macro strategy, we have developed six independent absolute return strategies that seek to harvest these
investment opportunities. We believe our approach is sustainable and robust consistent with the regular variable in prices relative to fundamentals that occur over a business cycle.
Our portion of the Fund’s
portfolio underperformed during our reporting period, due to three components. The largest detractor was our relative value positioning within our Currency sub-strategy, which experienced losses on the New Zealand
dollar, Canadian dollar and Norwegian krone. Our relative value Global Bonds sub-strategy also detracted, driven by our positioning in Canadian bonds. Carry and risk factor exposures experienced negative returns due
mainly to the swift change in sentiment due to the COVID-19 pandemic. Finally, our portion of the Fund experienced negative contributions from our Directional sub-strategy, which takes views across asset classes,
driven largely by positioning in equity markets.
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Columbia Multi Strategy Alternatives Fund | Annual Report 2020
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7 |
Manager Discussion of Fund Performance (continued)
The Carry factor was the most
consistent detractor to our portion of the Fund’s portfolio, having negative contribution in all sub-models where we use it as a factor (Bond Country Selection, Commodity Selection and Currency Selection). Bond
Country Selection and Currency Selection also suffered from losses from our Risk factor. Commodity Selection also had negative contribution from the Sentiment factor. Equity Country Selection had losses from the
Growth and Value factors. Our Directional sub-strategy suffered primarily from our Risk factor. The three biggest detractors from performance over the period were U.S. equity futures, Japanese equity futures and
Canadian bond futures.
Our Commodity Selection
sub-strategy benefited primarily from strong performance from the Risk factor, and the Currency Selection sub-strategy benefited most from the Value Factor. Our Directional sub-strategy and Equity Country Selection
both had strong contributions from the Sentiment Factor. The three most significant positive contributors to performance over the period were gasoline futures, Canadian equity futures and Mexican equity futures.
Our Global Macro strategy employs
approximately 60 macroeconomic, valuation and market-based inputs to inform our positioning. These include yield curve positioning, interest rates, credit spreads, cross asset class volatility measures, forecast
economic growth and price trends, among others. During our reporting period, our inputs led us to take on an increasingly “risk on” position from the fourth quarter of 2019 through the middle of February
2020. Our positioning was beneficial during this time. The significant deterioration in market sentiment coincident with the onset of the COVID-19 pandemic in the second half of the first quarter of 2020 was
detrimental to our performance given the "risk on" positioning. Our pivot to more defensive positioning, as informed by our inputs, resulted in positive performance in April and negative performance in May when risky
assets rallied, shrugging off concerns about the COVID-19 crisis.
Derivatives usage
CMIA: Our portion of the Fund utilizes derivatives for both hedging and non-hedging purposes, including, for example, seeking to enhance returns or as a substitute for a position in an
underlying asset or index. During the period, the Fund used tri-party swap agreements with a small group of approved counterparty bank providers to more efficiently and cost effectively manage its exposures. These
flexible structures, which allow for direct and highly versatile portfolio management applications, detracted from the Fund’s results during the period.
AQR: Our Global Macro investment strategy is implemented using derivative instruments to generate economic exposures that target a certain level of volatility. Our portion of the Fund invests
in liquid derivatives including global developed and emerging market exchange-traded futures, futures-related instruments, forward contracts and interest rate swaps across four major asset classes: commodities,
currencies, fixed income and equities. It is our view that derivatives offer the most liquid, lowest cost and efficient way to gain diversified exposure across asset classes.
QMA: Our Global Macro strategy is 100% invested through derivatives.
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Alternative investments cover a broad range of strategies and structures designed to be low or non-correlated to traditional equity and fixed-income markets and involve substantial risks and are more
volatile than traditional investments, making them more suitable for investors with an above average-tolerance for risk. The Fund’s use of leverage allows for investment exposure in excess of net assets, thereby magnifying volatility of returns and risk of loss. Commodity investments may be affected by the overall market and industry- and commodity-specific factors, and may be more volatile and less liquid than other investments. Investing in
derivatives is a specialized activity that involves special risks that subject the Fund to significant loss potential, including when used as leverage, and may result in greater fluctuation in fund
value. Foreign investments subject the Fund to risks, including political, economic, market, social and others within a particular country, as well as to currency instabilities and less stringent
financial and accounting standards generally applicable to U.S. issuers. The sales price the Fund (or its underlying investments) could receive for any particular investment may differ from the Fund’s (or
underlying investments’) valuation of the investment. As a non-diversified fund, fewer investments could have a greater effect on performance. Frequent trading may result in taxable gains or higher transaction costs, reducing the Fund’s return. See the Fund’s prospectus for more information on these and other risks.
The views expressed in this report
reflect the current views of the respective parties who have contributed to the report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult
to predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties
disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an
indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
| 8 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Understanding Your Fund’s
Expenses
(Unaudited)
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 366.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
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9 |
Consolidated Portfolio of Investments
May 31, 2020
May 31, 2020
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
| 10 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Commercial Mortgage-Backed Securities - Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Series 2020-3 Class IO | ||||
| 02/16/2062 | 0.951% | 3,984,468 | 299,033 | |
|
Total Commercial Mortgage-Backed Securities - Agency
(Cost $1,675,464) |
1,509,509 | |||
| Commercial Mortgage-Backed Securities - Non-Agency 6.4% | ||||
| BAMLL Commercial Mortgage Securities Trust(a),(f) | ||||
| Subordinated Series 2013-WBRK Class E | ||||
| 03/10/2037 | 3.652% | 500,000 | 373,484 | |
| BAMLL Commercial Mortgage Securities Trust(a),(b) | ||||
| Subordinated Series 2018-DSNY Class D | ||||
|
1-month USD LIBOR + 1.700%
Floor 1.700% 09/15/2034 |
1.884% | 2,065,000 | 1,830,156 | |
| Subordinated Series 2019-RLJ Class C | ||||
|
1-month USD LIBOR + 1.600%
Floor 1.600% 04/15/2036 |
1.784% | 1,250,000 | 1,019,528 | |
| BBCMS Trust(a),(b) | ||||
| Series 2018-BXH Class A | ||||
|
1-month USD LIBOR + 1.000%
Floor 1.000% 10/15/2037 |
1.184% | 207,394 | 187,482 | |
| Subordinated Series 2018-BXH Class F | ||||
|
1-month USD LIBOR + 2.950%
Floor 2.950% 10/15/2037 |
3.134% | 1,500,000 | 954,337 | |
| BFLD(a),(b) | ||||
| Series 2019-DPLO Class G | ||||
|
1-month USD LIBOR + 3.190%
Floor 3.190% 10/15/2034 |
3.374% | 1,000,000 | 621,122 | |
| BX Trust(a),(b) | ||||
| Series 2018-GW Class D | ||||
|
1-month USD LIBOR + 1.770%
Floor 1.770% 05/15/2037 |
1.954% | 375,000 | 321,012 | |
| Series 2019-ATL Class E | ||||
|
1-month USD LIBOR + 2.237%
Floor 2.237% 10/15/2036 |
2.420% | 2,000,000 | 1,614,635 | |
| BX Trust(a) | ||||
| Series 2019-OC11 Class E | ||||
| 12/09/2041 | 4.076% | 1,350,000 | 1,184,625 | |
| BX Trust(a),(f) | ||||
| Subordinated Series 2019-OC11 Class D | ||||
| 12/09/2041 | 4.076% | 500,000 | 450,636 | |
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
11 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| JPMorgan Chase Commercial Mortgage Securities Trust(a),(b) | ||||
| Subordinated Series 2018-ASH8 Class F | ||||
|
1-month USD LIBOR + 4.000%
Floor 3.800% 02/15/2035 |
4.184% | 1,000,000 | 655,349 | |
| Morgan Stanley Capital I Trust(a) | ||||
| Series 2019-MEAD Class E | ||||
| 11/10/2036 | 3.177% | 600,000 | 468,527 | |
| Morgan Stanley Capital I Trust(a),(b) | ||||
| Subordinated Series 2017-ASHF Class E | ||||
|
1-month USD LIBOR + 3.150%
Floor 3.150% 11/15/2034 |
3.334% | 500,000 | 352,476 | |
| Progress Residential Trust(a) | ||||
| Series 2018-SF3 Class B | ||||
| 10/17/2035 | 4.079% | 2,000,000 | 2,048,252 | |
| Series 2019-SFR3 Class F | ||||
| 09/17/2036 | 3.867% | 6,700,000 | 6,174,138 | |
| Series 2020-SFR1 Class F | ||||
| 04/17/2037 | 3.431% | 575,000 | 492,421 | |
| Subordinated Series 2019-SFR3 Class E | ||||
| 09/17/2036 | 3.369% | 1,000,000 | 938,625 | |
| Progress Residential Trust(a),(h) | ||||
| Subordinated Series 2020-SFR2 Class F | ||||
| 06/18/2037 | 6.152% | 500,000 | 487,647 | |
| Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
| Series 2017-SMP Class A | ||||
|
1-month USD LIBOR + 0.750%
Floor 0.750% 12/15/2034 |
0.934% | 1,200,000 | 1,132,985 | |
| Series 2020-SDAL Class E | ||||
|
1-month USD LIBOR + 2.740%
Floor 2.740% 02/15/2037 |
2.924% | 1,000,000 | 772,999 | |
|
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $45,732,055) |
40,263,971 | |||
| Residential Mortgage-Backed Securities - Agency 29.9% | ||||
| Federal Home Loan Mortgage Corp.(b),(g) | ||||
| CMO Series 4987 Class KS | ||||
|
-1.0 x 1-month USD LIBOR + 6.080%
Cap 6.080% 06/25/2050 |
5.909% | 1,900,000 | 511,813 | |
| Federal National Mortgage Association(b),(g) | ||||
| CMO Series 2016-53 Class AS | ||||
|
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000% 08/25/2046 |
5.832% | 25,364,995 | 4,852,620 | |
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
| 12 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Consolidated
Financial Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
13 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
| Issuer |
Coupon
Rate |
Principal
Amount ($) |
Value ($) | |
| Subordinated CMO Series 2019-3 Class B1 | ||||
| 07/25/2059 | 4.043% | 2,289,000 | 1,742,371 | |
| Subordinated CMO Series 2019-4 Class B1 | ||||
| 11/25/2059 | 3.860% | 500,000 | 391,007 | |
| Visio Trust(a),(f) | ||||
| CMO Series 2019-2 Class B1 | ||||
| 11/25/2054 | 3.910% | 100,000 | 75,159 | |
| CMO Series 2019-2 Class M1 | ||||
| 11/25/2054 | 3.260% | 200,000 | 166,856 | |
|
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $88,627,740) |
81,082,027 | |||
| Treasury Bills 18.1% | ||||
| Issuer |
Effective
Yield |
Principal
Amount ($) |
Value ($) | |
| United States 18.1% | ||||
| U.S. Treasury Bills(i) | ||||
| 09/17/2020 | 0.150% | 59,600,000 | 59,572,078 | |
| 03/25/2021 | 0.170% | 55,000,000 | 54,922,721 | |
| Total | 114,494,799 | |||
|
Total Treasury Bills
(Cost $114,533,831) |
114,494,799 | |||
| Options Purchased Puts 0.0% | ||||
| Value ($) | ||||
| (Cost $759,000) | 36 | |||
| Money Market Funds 47.2% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.308%(j),(k) | 297,968,789 | 297,998,586 |
|
Total Money Market Funds
(Cost $297,955,362) |
297,998,586 | |
|
Total Investments in Securities
(Cost: $778,045,401) |
762,138,749 | |
| Other Assets & Liabilities, Net | (130,069,484) | |
| Net Assets | 632,069,265 | |
At May 31, 2020,
securities and/or cash totaling $72,865,848 were pledged as collateral.
Investments in
derivatives
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 14 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Forward foreign currency exchange contracts (continued) | |||||
|
Currency to
be sold |
Currency to
be purchased |
Counterparty |
Settlement
date |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| 92,702,594 EUR | 100,813,248 USD | Citi | 06/17/2020 | — | (2,122,792) |
| 32,158,000 GBP | 41,315,570 USD | Citi | 06/17/2020 | 1,597,713 | — |
| 6,904,000 GBP | 8,426,817 USD | Citi | 06/17/2020 | — | (100,208) |
| 56,937,000 HUF | 191,019 USD | Citi | 06/17/2020 | 8,948 | — |
| 1,768,780,000 HUF | 5,403,570 USD | Citi | 06/17/2020 | — | (252,567) |
| 7,000,000,000 IDR | 478,206 USD | Citi | 06/17/2020 | 792 | — |
| 33,900,000,000 IDR | 2,082,244 USD | Citi | 06/17/2020 | — | (229,804) |
| 11,200,000 ILS | 3,266,291 USD | Citi | 06/17/2020 | 76,012 | — |
| 5,800,000 ILS | 1,624,388 USD | Citi | 06/17/2020 | — | (27,721) |
| 41,000,000 INR | 543,739 USD | Citi | 06/17/2020 | 1,917 | — |
| 332,782,000 INR | 4,287,510 USD | Citi | 06/17/2020 | — | (110,262) |
| 2,360,220,750 JPY | 22,135,538 USD | Citi | 06/17/2020 | 245,425 | — |
| 3,391,139,000 JPY | 30,995,406 USD | Citi | 06/17/2020 | — | (456,065) |
| 18,171,910,000 KRW | 15,069,206 USD | Citi | 06/17/2020 | 362,170 | — |
| 3,709,843,000 KRW | 2,974,132 USD | Citi | 06/17/2020 | — | (28,348) |
| 200,941,449 MXN | 9,742,859 USD | Citi | 06/17/2020 | 701,719 | — |
| 134,019,449 MXN | 5,606,745 USD | Citi | 06/17/2020 | — | (423,313) |
| 342,185,000 NOK | 36,725,658 USD | Citi | 06/17/2020 | 1,519,791 | — |
| 86,958,000 NOK | 8,407,745 USD | Citi | 06/17/2020 | — | (538,970) |
| 72,000 NZD | 45,708 USD | Citi | 06/17/2020 | 1,017 | — |
| 70,365,000 NZD | 42,928,607 USD | Citi | 06/17/2020 | — | (747,661) |
| 11,000,000 PHP | 218,029 USD | Citi | 06/17/2020 | 588 | — |
| 108,000,000 PHP | 2,107,485 USD | Citi | 06/17/2020 | — | (27,399) |
| 8,537,500 PLN | 2,202,035 USD | Citi | 06/17/2020 | 73,630 | — |
| 35,745,000 PLN | 8,565,517 USD | Citi | 06/17/2020 | — | (345,737) |
| 97,000,000 RUB | 1,445,265 USD | Citi | 06/17/2020 | 70,579 | — |
| 145,500,000 RUB | 1,988,548 USD | Citi | 06/17/2020 | — | (73,481) |
| 240,618,950 SEK | 24,113,690 USD | Citi | 06/17/2020 | — | (1,426,443) |
| 9,500,000 SGD | 6,814,428 USD | Citi | 06/17/2020 | 89,907 | — |
| 5,264,081 SGD | 3,702,573 USD | Citi | 06/17/2020 | — | (23,577) |
| 110,375,000 TWD | 3,695,695 USD | Citi | 06/17/2020 | 13,450 | — |
| 22,375,000 TWD | 744,174 USD | Citi | 06/17/2020 | — | (2,284) |
| 38,527,124 USD | 61,512,000 AUD | Citi | 06/17/2020 | 2,474,302 | — |
| 8,605,295 USD | 47,867,704 BRL | Citi | 06/17/2020 | 357,652 | — |
| 12,165,103 USD | 59,992,499 BRL | Citi | 06/17/2020 | — | (931,860) |
| 9,890,010 USD | 13,877,000 CAD | Citi | 06/17/2020 | 188,903 | — |
| 19,109,309 USD | 25,832,000 CAD | Citi | 06/17/2020 | — | (347,439) |
| 39,001,230 USD | 37,924,000 CHF | Citi | 06/17/2020 | 446,033 | — |
| 4,010,249 USD | 3,838,000 CHF | Citi | 06/17/2020 | — | (18,091) |
| 10,783,555 USD | 9,000,000,000 CLP | Citi | 06/17/2020 | 460,469 | — |
| 212,164 USD | 1,523,500 CNH | Citi | 06/17/2020 | 1,061 | — |
| 3,363,959 USD | 23,616,194 CNH | Citi | 06/17/2020 | — | (58,703) |
| 706,830 USD | 2,725,000,000 COP | Citi | 06/17/2020 | 22,683 | — |
| 5,928,969 USD | 21,361,471,820 COP | Citi | 06/17/2020 | — | (210,268) |
| 12,709,083 USD | 316,089,600 CZK | Citi | 06/17/2020 | 330,872 | — |
| 750,728 USD | 17,400,000 CZK | Citi | 06/17/2020 | — | (32,909) |
| 22,976,062 USD | 21,030,999 EUR | Citi | 06/17/2020 | 376,551 | — |
| 49,908,471 USD | 44,645,545 EUR | Citi | 06/17/2020 | — | (334,500) |
| 16,276,254 USD | 13,508,750 GBP | Citi | 06/17/2020 | 408,198 | — |
| 20,039,414 USD | 15,513,000 GBP | Citi | 06/17/2020 | — | (879,544) |
| 2,005,926 USD | 639,780,000 HUF | Citi | 06/17/2020 | 39,939 | — |
| 3,886,229 USD | 1,185,937,000 HUF | Citi | 06/17/2020 | — | (93,885) |
| 1,085,134 USD | 16,650,000,000 IDR | Citi | 06/17/2020 | 50,429 | — |
| 1,352,488 USD | 19,200,000,000 IDR | Citi | 06/17/2020 | — | (43,010) |
| 3,587,799 USD | 12,900,000 ILS | Citi | 06/17/2020 | 86,719 | — |
| 1,172,770 USD | 4,000,000 ILS | Citi | 06/17/2020 | — | (33,385) |
| 3,859,222 USD | 296,868,000 INR | Citi | 06/17/2020 | 63,940 | — |
| 687,764 USD | 50,664,000 INR | Citi | 06/17/2020 | — | (18,231) |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
15 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Forward foreign currency exchange contracts (continued) | |||||
|
Currency to
be sold |
Currency to
be purchased |
Counterparty |
Settlement
date |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| 12,202,731 USD | 1,335,894,000 JPY | Citi | 06/17/2020 | 187,157 | — |
| 69,441,300 USD | 7,412,528,000 JPY | Citi | 06/17/2020 | — | (693,039) |
| 555,811 USD | 698,764,000 KRW | Citi | 06/17/2020 | 9,719 | — |
| 19,903,485 USD | 24,072,480,000 KRW | Citi | 06/17/2020 | — | (420,953) |
| 8,683,227 USD | 203,528,796 MXN | Citi | 06/17/2020 | 474,328 | — |
| 9,935,217 USD | 193,705,000 MXN | Citi | 06/17/2020 | — | (1,219,673) |
| 24,970,036 USD | 262,518,000 NOK | Citi | 06/17/2020 | 2,039,254 | — |
| 16,632,085 USD | 158,237,000 NOK | Citi | 06/17/2020 | — | (351,795) |
| 13,847,773 USD | 23,442,000 NZD | Citi | 06/17/2020 | 702,914 | — |
| 29,745,633 USD | 46,995,000 NZD | Citi | 06/17/2020 | — | (575,361) |
| 2,854,716 USD | 146,000,000 PHP | Citi | 06/17/2020 | 31,330 | — |
| 1,529,160 USD | 6,307,000 PLN | Citi | 06/17/2020 | 43,179 | — |
| 9,072,390 USD | 34,860,500 PLN | Citi | 06/17/2020 | — | (381,643) |
| 881,976 USD | 68,000,000 RUB | Citi | 06/17/2020 | 81,721 | — |
| 3,393,949 USD | 226,000,000 RUB | Citi | 06/17/2020 | — | (191,072) |
| 21,173,254 USD | 207,530,950 SEK | Citi | 06/17/2020 | 854,804 | — |
| 3,541,019 USD | 33,088,000 SEK | Citi | 06/17/2020 | — | (28,943) |
| 6,250,749 USD | 8,948,163 SGD | Citi | 06/17/2020 | 83,158 | — |
| 5,711,042 USD | 7,990,000 SGD | Citi | 06/17/2020 | — | (55,366) |
| 1,188,343 USD | 35,875,000 TWD | Citi | 06/17/2020 | 8,492 | — |
| 6,700,029 USD | 199,325,000 TWD | Citi | 06/17/2020 | — | (50,302) |
| 1,926,089 USD | 34,929,000 ZAR | Citi | 06/17/2020 | 60,827 | — |
| 3,889,080 USD | 61,282,000 ZAR | Citi | 06/17/2020 | — | (403,090) |
| 71,647,000 ZAR | 4,396,794 USD | Citi | 06/17/2020 | 321,196 | — |
| 25,199,000 ZAR | 1,375,607 USD | Citi | 06/17/2020 | — | (57,823) |
| 15,808,333 BRL | 2,915,777 USD | Citi | 09/16/2020 | — | (33,532) |
| 13,002,000 CAD | 9,446,555 USD | Citi | 09/16/2020 | 3,172 | — |
| 11,663,000 CHF | 12,173,394 USD | Citi | 09/16/2020 | 8,778 | — |
| 1,390,000,000 CLP | 1,711,702 USD | Citi | 09/16/2020 | — | (25,894) |
| 27,486,960 CNH | 3,808,535 USD | Citi | 09/16/2020 | — | (18,855) |
| 2,600,000,000 COP | 691,726 USD | Citi | 09/16/2020 | 766 | — |
| 17,950,000 CZK | 738,811 USD | Citi | 09/16/2020 | — | (2,289) |
| 9,899,544 EUR | 11,015,741 USD | Citi | 09/16/2020 | 1,545 | — |
| 4,032,750 GBP | 4,956,731 USD | Citi | 09/16/2020 | — | (25,837) |
| 469,000,000 HUF | 1,481,965 USD | Citi | 09/16/2020 | — | (16,411) |
| 6,750,000,000 IDR | 448,302 USD | Citi | 09/16/2020 | — | (1,485) |
| 2,700,000 ILS | 771,849 USD | Citi | 09/16/2020 | 1,059 | — |
| 8,750,000 INR | 114,027 USD | Citi | 09/16/2020 | — | (530) |
| 8,388,000 NOK | 847,994 USD | Citi | 09/16/2020 | — | (15,528) |
| 460,000 NZD | 285,169 USD | Citi | 09/16/2020 | — | (181) |
| 4,000,000 PHP | 78,207 USD | Citi | 09/16/2020 | — | (475) |
| 787,500 PLN | 196,419 USD | Citi | 09/16/2020 | 90 | — |
| 1,575,000 PLN | 390,916 USD | Citi | 09/16/2020 | — | (1,743) |
| 47,086,000 SEK | 4,896,145 USD | Citi | 09/16/2020 | — | (105,901) |
| 1,210,000 SGD | 853,586 USD | Citi | 09/16/2020 | — | (3,288) |
| 5,446,757 USD | 8,207,250 AUD | Citi | 09/16/2020 | 23,460 | — |
| 400,773 USD | 2,169,000 BRL | Citi | 09/16/2020 | 3,890 | — |
| 187,911 USD | 1,000,000 BRL | Citi | 09/16/2020 | — | (1,344) |
| 18,626,703 USD | 18,013,500 CHF | Citi | 09/16/2020 | 161,545 | — |
| 2,148,808 USD | 8,086,471,820 COP | Citi | 09/16/2020 | 204 | — |
| 14,098,257 USD | 12,636,000 EUR | Citi | 09/16/2020 | — | (39,491) |
| 16,137,977 USD | 1,734,849,750 JPY | Citi | 09/16/2020 | — | (24,403) |
| 2,804,230 USD | 3,479,491,000 KRW | Citi | 09/16/2020 | 19,293 | — |
| 23,897,899 USD | 38,626,000 NZD | Citi | 09/16/2020 | 62,792 | — |
| 526,996 USD | 27,000,000 PHP | Citi | 09/16/2020 | 4,108 | — |
| 81,627 USD | 329,000 PLN | Citi | 09/16/2020 | 395 | — |
| 65,961 USD | 264,500 PLN | Citi | 09/16/2020 | — | (19) |
| 804,224 USD | 57,500,000 RUB | Citi | 09/16/2020 | 493 | — |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 16 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Forward foreign currency exchange contracts (continued) | |||||
|
Currency to
be sold |
Currency to
be purchased |
Counterparty |
Settlement
date |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| 1,533,865 USD | 2,174,081 SGD | Citi | 09/16/2020 | 5,733 | — |
| 571,414 USD | 17,075,000 TWD | Citi | 09/16/2020 | 2,683 | — |
| 574,176 USD | 17,075,000 TWD | Citi | 09/16/2020 | — | (80) |
| 725,602 USD | 12,815,000 ZAR | Citi | 09/16/2020 | — | (3,316) |
| 4,350,000 ZAR | 246,668 USD | Citi | 09/16/2020 | 1,491 | — |
| 3,737,366 USD | 84,636,449 MXN | Citi | 09/17/2020 | 20,578 | — |
| 1,599,568 USD | 35,936,449 MXN | Citi | 09/17/2020 | — | (3,954) |
| 93,245,000 NZD | 57,893,583 USD | Goldman Sachs | 06/10/2020 | 13,724 | — |
| 31,923,000 AUD | 20,898,967 USD | HSBC | 06/04/2020 | — | (379,345) |
| 33,722,000 NZD | 20,253,096 USD | HSBC | 06/04/2020 | — | (679,662) |
| 20,347,401 USD | 31,923,000 AUD | HSBC | 06/04/2020 | 930,911 | — |
| 20,535,720 USD | 33,722,000 NZD | HSBC | 06/04/2020 | 397,038 | — |
| 677,000 GBP | 835,032 USD | HSBC | 06/10/2020 | — | (1,093) |
| 584,360,000 NOK | 57,860,920 USD | HSBC | 06/10/2020 | — | (2,257,758) |
| 57,946,000 USD | 47,516,000 GBP | HSBC | 06/10/2020 | 738,396 | — |
| 59,028,290 USD | 584,360,000 NOK | HSBC | 06/10/2020 | 1,090,389 | — |
| 4,039,000 CAD | 2,870,693 USD | Morgan Stanley | 06/04/2020 | — | (62,819) |
| 10,370,000 EUR | 11,180,001 USD | Morgan Stanley | 06/04/2020 | — | (331,692) |
| 2,902,778 USD | 4,039,000 CAD | Morgan Stanley | 06/04/2020 | 30,734 | — |
| 11,339,330 USD | 10,370,000 EUR | Morgan Stanley | 06/04/2020 | 172,363 | — |
| 89,347,000 AUD | 57,962,079 USD | Morgan Stanley | 06/10/2020 | — | (1,592,622) |
| 53,444,000 EUR | 57,908,177 USD | Morgan Stanley | 06/10/2020 | — | (1,427,038) |
| 10,942,000 SEK | 1,134,019 USD | Morgan Stanley | 06/10/2020 | — | (27,326) |
| 58,010,657 USD | 89,347,000 AUD | Morgan Stanley | 06/10/2020 | 1,544,044 | — |
| 817,657 USD | 746,000 EUR | Morgan Stanley | 06/10/2020 | 10,576 | — |
| 57,800,686 USD | 567,218,000 SEK | Morgan Stanley | 06/10/2020 | 2,401,811 | — |
| 58,050,000 AUD | 37,918,275 USD | Morgan Stanley | 06/17/2020 | — | (775,521) |
| 950,000 CAD | 691,654 USD | Morgan Stanley | 06/17/2020 | 1,666 | — |
| 29,400,000 CAD | 21,097,773 USD | Morgan Stanley | 06/17/2020 | — | (255,548) |
| 17,700,000 CHF | 18,599,238 USD | Morgan Stanley | 06/17/2020 | 188,296 | — |
| 21,400,000 CHF | 22,050,925 USD | Morgan Stanley | 06/17/2020 | — | (208,632) |
| 6,250,000 EUR | 6,805,078 USD | Morgan Stanley | 06/17/2020 | — | (134,860) |
| 28,800,000 GBP | 35,901,717 USD | Morgan Stanley | 06/17/2020 | 331,274 | — |
| 4,450,000 GBP | 5,445,393 USD | Morgan Stanley | 06/17/2020 | — | (50,734) |
| 2,510,000,000 JPY | 23,420,243 USD | Morgan Stanley | 06/17/2020 | 140,987 | — |
| 235,000,000 JPY | 2,161,736 USD | Morgan Stanley | 06/17/2020 | — | (17,796) |
| 134,500,000 NOK | 14,458,613 USD | Morgan Stanley | 06/17/2020 | 620,516 | — |
| 229,000,000 NOK | 21,793,439 USD | Morgan Stanley | 06/17/2020 | — | (1,767,336) |
| 550,000 NZD | 347,130 USD | Morgan Stanley | 06/17/2020 | 5,739 | — |
| 73,350,000 NZD | 44,572,008 USD | Morgan Stanley | 06/17/2020 | — | (957,080) |
| 72,250,000 SEK | 7,731,209 USD | Morgan Stanley | 06/17/2020 | 62,342 | — |
| 329,750,000 SEK | 33,771,544 USD | Morgan Stanley | 06/17/2020 | — | (1,229,269) |
| 6,020,321 USD | 9,450,000 AUD | Morgan Stanley | 06/17/2020 | 278,669 | — |
| 5,084,024 USD | 7,100,000 CAD | Morgan Stanley | 06/17/2020 | 72,730 | — |
| 33,451,231 USD | 44,750,000 CAD | Morgan Stanley | 06/17/2020 | — | (949,152) |
| 4,812,257 USD | 4,650,000 CHF | Morgan Stanley | 06/17/2020 | 24,516 | — |
| 20,615,501 USD | 19,200,000 CHF | Morgan Stanley | 06/17/2020 | — | (644,310) |
| 19,048,232 USD | 17,450,000 EUR | Morgan Stanley | 06/17/2020 | 328,075 | — |
| 16,448,823 USD | 14,700,000 EUR | Morgan Stanley | 06/17/2020 | — | (126,089) |
| 48,034,504 USD | 38,250,000 GBP | Morgan Stanley | 06/17/2020 | — | (792,510) |
| 24,481,845 USD | 2,640,000,000 JPY | Morgan Stanley | 06/17/2020 | 3,110 | — |
| 17,515,060 USD | 1,880,000,000 JPY | Morgan Stanley | 06/17/2020 | — | (78,805) |
| 9,183,512 USD | 93,750,000 NOK | Morgan Stanley | 06/17/2020 | 462,001 | — |
| 20,769,711 USD | 34,500,000 NZD | Morgan Stanley | 06/17/2020 | 644,788 | — |
| 15,129,088 USD | 24,100,000 NZD | Morgan Stanley | 06/17/2020 | — | (169,974) |
| 58,117,910 USD | 572,250,000 SEK | Morgan Stanley | 06/17/2020 | 2,622,697 | — |
| 371,660 USD | 3,500,000 SEK | Morgan Stanley | 06/17/2020 | — | (158) |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
17 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Forward foreign currency exchange contracts (continued) | |||||
|
Currency to
be sold |
Currency to
be purchased |
Counterparty |
Settlement
date |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| 1,140,000 CAD | 824,632 USD | UBS | 06/10/2020 | — | (3,349) |
| 57,983,191 USD | 81,077,000 CAD | UBS | 06/10/2020 | 903,014 | — |
| Total | 33,445,018 | (34,891,641) | |||
| Long futures contracts | ||||||
| Description |
Number of
contracts |
Expiration
date |
Trading
currency |
Notional
amount |
Value/Unrealized
appreciation ($) |
Value/Unrealized
depreciation ($) |
| 10-Year Mini Japanese Government Bond | 1 | 06/2020 | JPY | 15,219,000 | 1,321 | — |
| Amsterdam Index | 79 | 06/2020 | EUR | 8,407,812 | 240,366 | — |
| Australian 10-Year Bond | 94 | 06/2020 | AUD | 14,003,119 | 27,103 | — |
| Australian 10-Year Bond | 408 | 06/2020 | AUD | 60,779,495 | — | (9,487) |
| Bist 30 Index | 5,037 | 06/2020 | TRY | 61,086,218 | 272,696 | — |
| Canadian Government 10-Year Bond | 24 | 09/2020 | CAD | 3,687,360 | 1,096 | — |
| Copper | 14 | 07/2020 | USD | 848,925 | 60,476 | — |
| Cotton | 123 | 07/2020 | USD | 3,541,785 | 268,843 | — |
| DAX Index | 46 | 06/2020 | EUR | 13,342,875 | 968,939 | — |
| EURO STOXX 50 Index | 225 | 06/2020 | EUR | 6,853,500 | 479,366 | — |
| Euro-OAT | 50 | 06/2020 | EUR | 8,422,000 | — | (167,277) |
| FTSE/JSE Top 40 Index | 40 | 06/2020 | ZAR | 18,651,600 | — | (8,639) |
| FTSE/MIB Index | 64 | 06/2020 | EUR | 5,816,640 | 353,370 | — |
| FTSE/MIB Index | 29 | 06/2020 | EUR | 2,635,665 | 301,262 | — |
| Gold 100 oz. | 12 | 08/2020 | USD | 2,102,040 | 1,265 | — |
| Hang Seng Index | 24 | 06/2020 | HKD | 27,322,800 | — | (26,078) |
| H-Shares Index | 10 | 06/2020 | HKD | 4,748,000 | 2,071 | — |
| KLCI Index | 11 | 06/2020 | MYR | 797,500 | — | (449) |
| KOSPI 200 Index | 53 | 06/2020 | KRW | 3,537,750,000 | 133,203 | — |
| Live Cattle | 55 | 06/2020 | USD | 2,193,950 | 331,056 | — |
| Long Gilt | 18 | 09/2020 | GBP | 2,473,920 | — | (674) |
| Mexican Bosa IPC Index | 111 | 06/2020 | MXN | 40,196,430 | 56,382 | — |
| MSCI Taiwan Index | 103 | 06/2020 | USD | 4,235,360 | — | (9,732) |
| NY Harbor ULSD Heat Oil | 1 | 06/2020 | USD | 43,537 | 6,877 | — |
| OMXS30 Index | 94 | 06/2020 | SEK | 15,303,200 | 92,349 | — |
| RBOB Gasoline | 106 | 06/2020 | USD | 4,801,482 | 114,084 | — |
| RBOB Gasoline | 1 | 06/2020 | USD | 45,297 | 8,377 | — |
| S&P 500 Index E-mini | 157 | 06/2020 | USD | 23,879,700 | 4,616,676 | — |
| S&P/TSX 60 Index | 307 | 06/2020 | CAD | 56,223,980 | 6,246,706 | — |
| S&P/TSX 60 Index | 43 | 06/2020 | CAD | 7,875,020 | 1,105,166 | — |
| S&P/TSX 60 Index | 14 | 06/2020 | CAD | 2,563,960 | 57,659 | — |
| Silver | 59 | 07/2020 | USD | 5,457,205 | 806,896 | — |
| Soybean | 379 | 06/2020 | USD | 4,631,077 | 47,248 | — |
| Soybean | 2 | 07/2020 | USD | 84,075 | 409 | — |
| Soybean Oil | 176 | 07/2020 | USD | 2,891,328 | 123,480 | — |
| SPI 200 Index | 72 | 06/2020 | AUD | 10,348,200 | 400,176 | — |
| SPI 200 Index | 93 | 06/2020 | AUD | 13,366,425 | 395,536 | — |
| TOPIX Index | 80 | 06/2020 | JPY | 1,247,200,000 | 559,416 | — |
| U.S. Treasury 10-Year Note | 422 | 09/2020 | USD | 58,684,375 | 160,850 | — |
| U.S. Treasury 10-Year Note | 378 | 09/2020 | USD | 52,565,625 | 109,115 | — |
| U.S. Treasury 5-Year Note | 307 | 09/2020 | USD | 38,566,875 | 61,840 | — |
| WTI Crude | 17 | 05/2021 | USD | 653,820 | 83,772 | — |
| WTI Crude | 17 | 11/2021 | USD | 675,070 | 77,312 | — |
| Zinc | 33 | 06/2020 | USD | 1,642,369 | 53,590 | — |
| Total | 18,626,349 | (222,336) | ||||
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| 18 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
| Short futures contracts | ||||||
| Description |
Number of
contracts |
Expiration
date |
Trading
currency |
Notional
amount |
Value/Unrealized
appreciation ($) |
Value/Unrealized
depreciation ($) |
| Brent Crude | (49) | 06/2020 | USD | (1,854,160) | — | (223,723) |
| CAC40 Index | (108) | 06/2020 | EUR | (5,060,880) | — | (264,448) |
| CAC40 Index | (169) | 06/2020 | EUR | (7,919,340) | — | (485,701) |
| Canadian Government 10-Year Bond | (65) | 09/2020 | CAD | (9,986,600) | — | (14,267) |
| Coffee | (18) | 07/2020 | USD | (650,025) | 21,739 | — |
| Copper | (9) | 06/2020 | USD | (1,205,719) | — | (27,291) |
| Copper | (13) | 07/2020 | USD | (788,288) | — | (36,738) |
| Copper | (15) | 09/2020 | USD | (2,018,156) | — | (16,503) |
| Corn | (173) | 07/2020 | USD | (2,817,738) | — | (42,692) |
| Corn | (156) | 07/2020 | USD | (2,540,850) | — | (74,163) |
| DAX Index | (9) | 06/2020 | EUR | (2,610,563) | 5,234 | — |
| EURO STOXX 50 Index | (1) | 06/2020 | EUR | (30,460) | 176 | — |
| EURO STOXX 50 Index | (60) | 06/2020 | EUR | (1,827,600) | — | (155,007) |
| Euro-Bund | (176) | 06/2020 | EUR | (30,352,960) | 3,613 | — |
| Euro-Bund | (251) | 09/2020 | EUR | (44,088,150) | — | (41,928) |
| FTSE 100 Index | (67) | 06/2020 | GBP | (4,060,535) | — | (136,299) |
| FTSE 100 Index | (281) | 06/2020 | GBP | (17,030,005) | — | (1,042,414) |
| FTSE/JSE Top 40 Index | (90) | 06/2020 | ZAR | (41,966,100) | — | (16,874) |
| Gold 100 oz. | (37) | 08/2020 | USD | (6,481,290) | 31,561 | — |
| Hang Seng Index | (10) | 06/2020 | HKD | (11,384,500) | 28,987 | — |
| IBEX 35 Index | (78) | 06/2020 | EUR | (5,509,608) | 33,958 | — |
| IBEX 35 Index | (75) | 06/2020 | EUR | (5,297,700) | — | (427,175) |
| Japanese 10-Year Government Bond | (19) | 06/2020 | JPY | (2,891,800,000) | 306,039 | — |
| Japanese 10-Year Government Bond | (14) | 06/2020 | JPY | (2,130,800,000) | 30,883 | — |
| Lead | (11) | 09/2020 | USD | (461,175) | — | (10,551) |
| Lean Hogs | (128) | 06/2020 | USD | (2,910,720) | — | (250,464) |
| Long Gilt | (159) | 09/2020 | GBP | (21,852,960) | — | (33,617) |
| Mexican Bosa IPC Index | (6) | 06/2020 | MXN | (2,172,780) | 2,295 | — |
| MSCI Emerging Markets Index | (387) | 06/2020 | USD | (18,051,615) | — | (2,246,597) |
| MSCI Singapore Index | (203) | 06/2020 | SGD | (5,846,400) | 41,023 | — |
| MSCI Taiwan Index | (184) | 06/2020 | USD | (7,566,080) | 38,263 | — |
| Natural Gas | (175) | 06/2020 | USD | (3,235,750) | 171,422 | — |
| Natural Gas | (204) | 06/2020 | USD | (3,771,960) | 75,148 | — |
| Nickel | (59) | 06/2020 | USD | (4,343,846) | 9,420 | — |
| Nickel | (20) | 06/2020 | USD | (1,472,490) | — | (46,679) |
| Nickel | (19) | 09/2020 | USD | (1,406,646) | — | (8,354) |
| NY Harbor ULSD Heat Oil | (45) | 06/2020 | USD | (1,959,174) | — | (75,085) |
| OMXS30 Index | (172) | 06/2020 | SEK | (28,001,600) | — | (157,212) |
| Primary Aluminum | (6) | 06/2020 | USD | (230,250) | — | (9,831) |
| Primary Aluminum | (76) | 06/2020 | USD | (2,916,500) | — | (103,964) |
| Primary Aluminum | (75) | 09/2020 | USD | (2,913,281) | — | (36,720) |
| S&P 500 Index E-mini | (10) | 06/2020 | USD | (1,521,000) | — | (10,003) |
| S&P 500 Index E-mini | (94) | 06/2020 | USD | (14,297,400) | — | (1,650,869) |
| SGX Nifty Index | (83) | 06/2020 | USD | (1,579,324) | — | (54,191) |
| SGX Nifty Index | (397) | 06/2020 | USD | (7,554,116) | — | (363,513) |
| Soybean | (91) | 07/2020 | USD | (3,825,413) | 30,331 | — |
| Soybean Meal | (56) | 07/2020 | USD | (1,585,920) | 48,909 | — |
| Soybean Oil | (30) | 07/2020 | USD | (492,840) | — | (3,774) |
| SPI 200 Index | (55) | 06/2020 | AUD | (7,904,875) | — | (524,171) |
| Thai SET50 Index | (156) | 06/2020 | THB | (27,842,880) | — | (166,819) |
| TOPIX Index | (213) | 06/2020 | JPY | (3,320,670,000) | — | (3,491,115) |
| U.S. Long Bond | (77) | 09/2020 | USD | (13,734,875) | — | (70,618) |
| U.S. Treasury 10-Year Note | (515) | 09/2020 | USD | (71,617,188) | — | (112,919) |
| U.S. Treasury 5-Year Note | (84) | 09/2020 | USD | (10,552,500) | — | (15,534) |
| Wheat | (29) | 07/2020 | USD | (755,088) | — | (26,577) |
| Wheat | (60) | 07/2020 | USD | (1,562,250) | — | (48,032) |
| WIG 20 Index | (553) | 06/2020 | PLN | (19,067,440) | — | (386,193) |
| WTI Crude | (160) | 06/2020 | USD | (5,678,400) | — | (2,012,499) |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
19 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Short futures contracts (continued) | ||||||
| Description |
Number of
contracts |
Expiration
date |
Trading
currency |
Notional
amount |
Value/Unrealized
appreciation ($) |
Value/Unrealized
depreciation ($) |
| WTI Crude | (43) | 07/2020 | USD | (1,541,120) | — | (311,498) |
| Zinc | (24) | 06/2020 | USD | (1,194,450) | — | (54,577) |
| Zinc | (26) | 09/2020 | USD | (1,293,013) | — | (30,315) |
| Total | 879,001 | (15,317,514) | ||||
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 20 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
21 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 22 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| * | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
23 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Cleared credit default swap contracts - sell protection | ||||||||||||
|
Reference
entity |
Counterparty |
Maturity
date |
Receive
fixed rate (%) |
Payment
frequency |
Implied
credit spread (%)* |
Notional
currency |
Notional
amount |
Value
($) |
Upfront
payments ($) |
Upfront
receipts ($) |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Markit CDX North America High Yield Index, Series 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | 5.538 | USD | 14,333,300 | 525,539 | — | — | 525,539 | — |
| Markit CDX North America High Yield Index, Series 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | 5.538 | USD | 714,780 | (18,929) | — | — | — | (18,929) |
| Markit CDX North America High Yield Index, Series 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | 5.538 | USD | 2,066,720 | (52,760) | — | — | — | (52,760) |
| Markit CDX North America High Yield Index, Series 33 | Morgan Stanley | 12/20/2024 | 5.000 | Quarterly | 5.538 | USD | 5,558,850 | (139,962) | — | — | — | (139,962) |
| Markit CDX North America High Yield Index, Series 34 | Morgan Stanley | 06/20/2025 | 5.000 | Quarterly | 5.494 | USD | 8,820,000 | 402,946 | — | — | 402,946 | — |
| Total | 716,834 | — | — | 928,485 | (211,651) | |||||||
| * | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 24 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Total return swap contracts (continued) | ||||||||||||
| Fund receives | Fund pays |
Payment
frequency |
Counterparty |
Maturity
date |
Notional
currency |
Notional
amount |
Value
($) |
Periodic
payments receivable (payable) ($) |
Upfront
payments ($) |
Upfront
receipts ($) |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| 1-Month PLN WIBOR minus 0.002% | Total return on MSCI Poland Net Return PLN Index | Monthly | JPMorgan | 06/17/2020 | PLN | 248,631 | (2,738) | 8 | — | — | — | (2,730) |
| 1-Month CAD Canada Bankers’ Acceptances minus 0.008% | Total return on MSCI Canada Net Return CAD Index | Monthly | JPMorgan | 06/17/2020 | CAD | 359,878 | (3,169) | 34 | — | — | — | (3,135) |
| Total return on MSCI Emerging China Net Return HKD Index | 1-Month HKD HIBOR minus 0.002% | Monthly | JPMorgan | 06/17/2020 | HKD | 1,020,135 | (4,524) | (21) | — | — | — | (4,545) |
| 1-Month PLN WIBOR minus 0.002% | Total return on MSCI Poland Net Return PLN Index | Monthly | JPMorgan | 06/17/2020 | PLN | 602,453 | (6,635) | 20 | — | — | — | (6,615) |
| Total | 85,712 | 2,609 | — | — | 105,346 | (17,025) | ||||||
| * | If the notional amount of the swap contract is long and the swap contract’s value is positive (negative), the Fund will receive (pay) the total return. If the notional amount of the swap contract is short and the swap contract’s value is positive (negative), the Fund will pay (receive) the total return. Receipts and payments occur upon termination of the contract. |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
25 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Reference index and values for swap contracts as of period end | ||
| Reference index | Reference rate | |
| 1-Month HKD HIBOR | Hong Kong Interbank Offered Rate | 1.051% |
| 28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 5.740% |
| 3-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 0.318% |
| 3-Month NZD LIBOR | London Interbank Offered Rate | 0.255% |
| 3-Month SEK STIBOR | Stockholm Interbank Offered Rate | 0.177% |
| 3-Month USD LIBOR | London Interbank Offered Rate | 0.344% |
| 6-Month AUD BBSW | Bank Bill Swap Rate | 0.165% |
| 6-Month EURIBOR | Euro Interbank Offered Rate | (0.158%) |
| 6-Month GBP LIBOR | London Interbank Offered Rate | 0.380% |
| 6-Month JPY BBA LIBOR | London Interbank Offered Rate | 0.003% |
| 1-Month CHF LIBOR | London Interbank Offered Rate | (0.761)% |
| 1-Month EURIBOR | Euro Interbank Offered Rate | (0.482%) |
| 1-Month PLN WIBOR | Warsaw Interbank Offer Rate | 0.240% |
| 1-Month ZAR JIBAR | Johannesburg Interbank Average Rate | 3.900% |
| 3-Month AUD BBSW | Bank Bill Swap Rate | 0.095% |
| 6-Month CHF LIBOR | London Interbank Offered Rate | (0.597)% |
| 6-Month NOK NIBOR | Norwegian Interbank Offered Rate | 0.430% |
| 1-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 0.289% |
Notes to Consolidated Portfolio of
Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2020, the total value of these securities amounted to $157,491,586, which represents 24.92% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of May 31, 2020. |
| (c) | Valuation based on significant unobservable inputs. |
| (d) | Zero coupon bond. |
| (e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At May 31, 2020, the total value of these securities amounted to $8,109,900, which represents 1.28% of total net assets. |
| (f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of May 31, 2020. |
| (g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (h) | Represents a security purchased on a when-issued basis. |
| (i) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (j) | The rate shown is the seven-day current annualized yield at May 31, 2020. |
| (k) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2020 are as follows: |
| Affiliated issuers |
Beginning
of period($) |
Purchases($) | Sales($) |
Net change in
unrealized appreciation (depreciation)($) |
End of
period($) |
Realized gain
(loss)($) |
Dividends($) |
End of
period shares |
| Columbia Short-Term Cash Fund, 0.308% | ||||||||
| 602,191,844 | 1,292,173,413 | (1,596,422,016) | 55,345 | 297,998,586 | (762) | 6,227,478 | 297,968,789 | |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 26 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| LIBOR | London Interbank Offered Rate |
| TBA | To Be Announced |
Currency Legend
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canada Dollar |
| CHF | Swiss Franc |
| CLP | Chilean Peso |
| CNH | Yuan Offshore Renminbi |
| COP | Colombian Peso |
| CZK | Czech Koruna |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| HUF | Hungarian Forint |
| IDR | Indonesian Rupiah |
| ILS | Israeli Shekel |
| INR | Indian Rupee |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| MYR | Malaysian Ringgit |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PHP | Philippine Peso |
| PLN | Polish Zloty |
| RUB | Russian Ruble |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| THB | Thailand Baht |
| TRY | Turkish Lira |
| TWD | New Taiwan Dollar |
| USD | US Dollar |
| ZAR | South African Rand |
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is
deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example,
certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in
the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
27 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
Fair value measurements (continued)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3
category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency
and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant
unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and
estimated cash flows, and comparable company data.
Under the direction of the
Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of
voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly
to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of
Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third
party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale
pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to
discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members
of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of
the inputs used to value the Fund’s investments at May 31, 2020:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Asset-Backed Securities — Non-Agency | — | 33,542,783 | 4,443,161 | 37,985,944 |
| Commercial Mortgage-Backed Securities - Agency | — | 1,509,509 | — | 1,509,509 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 40,263,971 | — | 40,263,971 |
| Residential Mortgage-Backed Securities - Agency | — | 188,803,877 | — | 188,803,877 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 74,989,076 | 6,092,951 | 81,082,027 |
| Treasury Bills | 114,494,799 | — | — | 114,494,799 |
| Options Purchased Puts | — | 36 | — | 36 |
| Money Market Funds | 297,998,586 | — | — | 297,998,586 |
| Total Investments in Securities | 412,493,385 | 339,109,252 | 10,536,112 | 762,138,749 |
| Investments in Derivatives | ||||
| Asset | ||||
| Forward Foreign Currency Exchange Contracts | — | 33,445,018 | — | 33,445,018 |
| Futures Contracts | 19,505,350 | — | — | 19,505,350 |
| Swap Contracts | — | 21,915,766 | — | 21,915,766 |
| Liability | ||||
| Forward Foreign Currency Exchange Contracts | — | (34,891,641) | — | (34,891,641) |
| Futures Contracts | (15,539,850) | — | — | (15,539,850) |
| Swap Contracts | — | (9,648,936) | — | (9,648,936) |
| Total | 416,458,885 | 349,929,459 | 10,536,112 | 776,924,456 |
See the Consolidated Portfolio of
Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to
the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical
assets.
Forward foreign currency exchange
contracts, futures contracts and swap contracts are valued at unrealized appreciation (depreciation).
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 28 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
Fair value measurements (continued)
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
|
Balance
as of 05/31/2019 ($) |
Increase
(decrease) in accrued discounts/ premiums ($) |
Realized
gain (loss)(a) ($) |
Change
in unrealized appreciation (depreciation)(b) ($) |
Purchases
($) |
Sales
($) |
Transfers
into Level 3 ($) |
Transfers
out of Level 3 ($) |
Balance
as of 05/31/2020 ($) |
|
| Asset-Backed Securities — Non-Agency | — | 97,731 | 25,087 | (606,784) | 12,985,379 | (8,058,252) | — | — | 4,443,161 |
| Residential Mortgage-Backed Securities — Non-Agency | — | 882 | 1,636 | (576,266) | 7,296,872 | (630,173) | — | — | 6,092,951 |
| Total Return Swap Contracts | (17,771,951) | — | — | 17,771,951 | — | — | — | — | — |
| Total | (17,771,951) | 98,613 | 26,723 | 16,588,901 | 20,282,251 | (8,688,425) | — | — | 10,536,112 |
Derivative instruments are valued at
unrealized appreciation (depreciation).
(a) The realized gain (loss) earned
during the period for Total Return Swap Contracts was $(32,350,729).
(b) Change in unrealized
appreciation (depreciation) relating to securities held at May 31, 2020 was $(1,183,050), which is comprised of Asset-Backed Securities — Non-Agency of $(606,784) and Residential Mortgage-Backed Securities
— Non-Agency of $(576,266).
The Fund’s assets assigned to
the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain residential and asset-backed securities classified as Level 3 securities are valued using the
market approach and utilize single market quotations from broker dealers which may have included, but were not limited to, observable transactions for identical or similar assets in the market and the distressed
nature of the security. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, manual price reviews and other control procedures.
Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) fair value measurement.
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
29 |
Consolidated Statement of Assets and
Liabilities
May 31, 2020
May 31, 2020
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $479,331,039) | $464,140,127 |
| Affiliated issuers (cost $297,955,362) | 297,998,586 |
| Options purchased (cost $759,000) | 36 |
| Cash | 1,138,154 |
| Foreign currency (cost $4,553,069) | 4,592,891 |
| Cash collateral held at broker for: | |
| Swap contracts | 1,010,000 |
| TBA | 356,000 |
| Other(a) | 3,310,000 |
| Margin deposits on: | |
| Futures contracts | 25,384,169 |
| Swap contracts | 13,538,184 |
| Unrealized appreciation on forward foreign currency exchange contracts | 33,445,018 |
| Unrealized appreciation on swap contracts | 2,530,993 |
| Upfront payments on swap contracts | 313,409 |
| Receivable for: | |
| Investments sold on a delayed delivery basis | 10,537,630 |
| Capital shares sold | 1,756,552 |
| Dividends | 83,623 |
| Interest | 598,678 |
| Variation margin for futures contracts | 4,056,529 |
| Variation margin for swap contracts | 1,347,771 |
| Expense reimbursement due from Investment Manager | 98,636 |
| Prepaid expenses | 411 |
| Trustees’ deferred compensation plan | 36,426 |
| Total assets | 866,273,823 |
| Liabilities | |
| Unrealized depreciation on forward foreign currency exchange contracts | 34,891,641 |
| Unrealized depreciation on swap contracts | 2,383,833 |
| Upfront receipts on swap contracts | 812,025 |
| Cash collateral due to broker for: | |
| Swap contracts | 140,000 |
| Other(a) | 190,000 |
| Payable for: | |
| Investments purchased | 3,128,350 |
| Investments purchased on a delayed delivery basis | 185,644,326 |
| Capital shares purchased | 445,605 |
| Variation margin for futures contracts | 3,964,309 |
| Variation margin for swap contracts | 1,943,770 |
| Management services fees | 485,479 |
| Distribution and/or service fees | 620 |
| Transfer agent fees | 61,958 |
| Compensation of board members | 23 |
| Compensation of chief compliance officer | 36 |
| Other expenses | 76,157 |
| Trustees’ deferred compensation plan | 36,426 |
| Total liabilities | 234,204,558 |
| Net assets applicable to outstanding capital stock | $632,069,265 |
| Represented by | |
| Paid in capital | 771,424,287 |
| Total distributable earnings (loss) | (139,355,022) |
| Total - representing net assets applicable to outstanding capital stock | $632,069,265 |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 30 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Statement of Assets and
Liabilities (continued)
May 31, 2020
May 31, 2020
| Class A | |
| Net assets | $2,125,077 |
| Shares outstanding | 305,323 |
| Net asset value per share | $6.96 |
| Maximum sales charge | 5.75% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $7.38 |
| Advisor Class | |
| Net assets | $132,517 |
| Shares outstanding | 18,850 |
| Net asset value per share | $7.03 |
| Class C | |
| Net assets | $219,730 |
| Shares outstanding | 32,494 |
| Net asset value per share | $6.76 |
| Institutional Class | |
| Net assets | $614,500,202 |
| Shares outstanding | 87,562,253 |
| Net asset value per share | $7.02 |
| Institutional 2 Class | |
| Net assets | $124,435 |
| Shares outstanding | 17,655 |
| Net asset value per share | $7.05 |
| Institutional 3 Class | |
| Net assets | $14,960,412 |
| Shares outstanding | 2,116,560 |
| Net asset value per share | $7.07 |
| Class R | |
| Net assets | $6,892 |
| Shares outstanding | 1,000 |
| Net asset value per share | $6.89 |
| (a) | Includes collateral related to forward foreign currency exchange contracts and swap contracts. |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
31 |
Consolidated Statement of Operations
Year Ended May 31, 2020
Year Ended May 31, 2020
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $198,436 |
| Dividends — affiliated issuers | 6,227,478 |
| Interest | 6,592,443 |
| Total income | 13,018,357 |
| Expenses: | |
| Management services fees | 5,763,308 |
| Distribution and/or service fees | |
| Class A | 6,595 |
| Class C | 2,903 |
| Class R | 36 |
| Transfer agent fees | |
| Class A | 3,350 |
| Advisor Class | 153 |
| Class C | 370 |
| Institutional Class | 738,255 |
| Institutional 2 Class | 249 |
| Institutional 3 Class | 1,865 |
| Class R | 7 |
| Compensation of board members | 30,626 |
| Custodian fees | 76,374 |
| Printing and postage fees | 116,282 |
| Registration fees | 119,895 |
| Audit fees | 45,313 |
| Legal fees | 14,131 |
| Line of credit interest | 58 |
| Interest on collateral | 49,664 |
| Compensation of chief compliance officer | 219 |
| Other | 33,513 |
| Total expenses | 7,003,166 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (1,018,242) |
| Total net expenses | 5,984,924 |
| Net investment income | 7,033,433 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 8,456,232 |
| Investments — affiliated issuers | (762) |
| Foreign currency translations | (5,168,358) |
| Forward foreign currency exchange contracts | (200,303) |
| Futures contracts | (38,763,084) |
| Options purchased | 6,345,606 |
| Options contracts written | (6,870,819) |
| Swap contracts | (25,419,860) |
| Net realized loss | (61,621,348) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (15,190,912) |
| Investments — affiliated issuers | 55,345 |
| Foreign currency translations | 217,662 |
| Forward foreign currency exchange contracts | (2,563,115) |
| Futures contracts | 4,255,168 |
| Options purchased | (581,633) |
| Swap contracts | 30,038,781 |
| Net change in unrealized appreciation (depreciation) | 16,231,296 |
| Net realized and unrealized loss | (45,390,052) |
| Net decrease in net assets resulting from operations | $(38,356,619) |
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| 32 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Statement of Changes in Net
Assets
|
Year Ended
May 31, 2020 |
Year Ended
May 31, 2019 |
|
| Operations | ||
| Net investment income | $7,033,433 | $8,245,783 |
| Net realized loss | (61,621,348) | (127,568,458) |
| Net change in unrealized appreciation (depreciation) | 16,231,296 | 17,659,394 |
| Net decrease in net assets resulting from operations | (38,356,619) | (101,663,281) |
| Increase (decrease) in net assets from capital stock activity | 61,067,201 | (27,078,806) |
| Total increase (decrease) in net assets | 22,710,582 | (128,742,087) |
| Net assets at beginning of year | 609,358,683 | 738,100,770 |
| Net assets at end of year | $632,069,265 | $609,358,683 |
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
33 |
Consolidated Statement of Changes in Net
Assets (continued)
| Year Ended | Year Ended | |||
| May 31, 2020 | May 31, 2019 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 49,785 | 359,008 | 71,561 | 568,913 |
| Redemptions | (161,145) | (1,166,857) | (156,552) | (1,250,231) |
| Net decrease | (111,360) | (807,849) | (84,991) | (681,318) |
| Advisor Class | ||||
| Subscriptions | 6,121 | 43,189 | 150,132 | 1,288,248 |
| Redemptions | (16,013) | (120,171) | (631,135) | (5,038,061) |
| Net decrease | (9,892) | (76,982) | (481,003) | (3,749,813) |
| Class C | ||||
| Subscriptions | 12,578 | 84,401 | 486 | 4,000 |
| Redemptions | (47,669) | (337,760) | (31,089) | (245,156) |
| Net decrease | (35,091) | (253,359) | (30,603) | (241,156) |
| Institutional Class | ||||
| Subscriptions | 27,563,390 | 199,053,286 | 32,104,971 | 260,930,655 |
| Redemptions | (18,408,672) | (134,635,102) | (35,099,478) | (282,950,771) |
| Net increase (decrease) | 9,154,718 | 64,418,184 | (2,994,507) | (22,020,116) |
| Institutional 2 Class | ||||
| Subscriptions | 32,834 | 242,451 | 55,140 | 444,759 |
| Redemptions | (103,958) | (767,244) | (61,105) | (502,754) |
| Net decrease | (71,124) | (524,793) | (5,965) | (57,995) |
| Institutional 3 Class | ||||
| Redemptions | (228,727) | (1,688,000) | — | — |
| Net decrease | (228,727) | (1,688,000) | — | — |
| Class T | ||||
| Redemptions | — | — | (42,603) | (328,408) |
| Net decrease | — | — | (42,603) | (328,408) |
| Total net increase (decrease) | 8,698,524 | 61,067,201 | (3,639,672) | (27,078,806) |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
| 34 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
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|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
35 |
Consolidated Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
|
Net asset value,
beginning of period |
Net
investment income (loss) |
Net
realized and unrealized gain (loss) |
Total from
investment operations |
Distributions
from net investment income |
Total
distributions to shareholders |
|
| Class A | ||||||
| Year Ended 5/31/2020 | $7.45 | 0.07 | (0.56) | (0.49) | — | — |
| Year Ended 5/31/2019 | $8.66 | 0.08 | (1.29) | (1.21) | — | — |
| Year Ended 5/31/2018 | $9.36 | 0.01 | (0.50) | (0.49) | (0.21) | (0.21) |
| Year Ended 5/31/2017 | $9.43 | (0.09) | 0.06 | (0.03) | (0.04) | (0.04) |
| Year Ended 5/31/2016 | $9.85 | 0.05 | (0.41) | (0.36) | (0.06) | (0.06) |
| Advisor Class | ||||||
| Year Ended 5/31/2020 | $7.50 | 0.08 | (0.55) | (0.47) | — | — |
| Year Ended 5/31/2019 | $8.70 | 0.09 | (1.29) | (1.20) | — | — |
| Year Ended 5/31/2018 | $9.39 | 0.04 | (0.51) | (0.47) | (0.22) | (0.22) |
| Year Ended 5/31/2017 | $9.45 | (0.06) | 0.05 | (0.01) | (0.05) | (0.05) |
| Year Ended 5/31/2016 | $9.86 | 0.19 | (0.53) | (0.34) | (0.07) | (0.07) |
| Class C | ||||||
| Year Ended 5/31/2020 | $7.29 | 0.01 | (0.54) | (0.53) | — | — |
| Year Ended 5/31/2019 | $8.54 | 0.02 | (1.27) | (1.25) | — | — |
| Year Ended 5/31/2018 | $9.27 | (0.06) | (0.49) | (0.55) | (0.18) | (0.18) |
| Year Ended 5/31/2017 | $9.38 | (0.16) | 0.06 | (0.10) | (0.01) | (0.01) |
| Year Ended 5/31/2016 | $9.83 | (0.03) | (0.40) | (0.43) | (0.02) | (0.02) |
| Institutional Class | ||||||
| Year Ended 5/31/2020 | $7.49 | 0.08 | (0.55) | (0.47) | — | — |
| Year Ended 5/31/2019 | $8.68 | 0.10 | (1.29) | (1.19) | — | — |
| Year Ended 5/31/2018 | $9.38 | 0.03 | (0.51) | (0.48) | (0.22) | (0.22) |
| Year Ended 5/31/2017 | $9.43 | (0.03) | 0.03 | 0.00 | (0.05) | (0.05) |
| Year Ended 5/31/2016 | $9.86 | (0.06) | (0.30) | (0.36) | (0.07) | (0.07) |
| Institutional 2 Class | ||||||
| Year Ended 5/31/2020 | $7.52 | 0.10 | (0.57) | (0.47) | — | — |
| Year Ended 5/31/2019 | $8.71 | 0.11 | (1.30) | (1.19) | — | — |
| Year Ended 5/31/2018 | $9.39 | 0.05 | (0.51) | (0.46) | (0.22) | (0.22) |
| Year Ended 5/31/2017 | $9.45 | (0.03) | 0.03 | 0.00 | (0.06) | (0.06) |
| Year Ended 5/31/2016 | $9.86 | 0.07 | (0.40) | (0.33) | (0.08) | (0.08) |
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| 36 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Financial Highlights (continued)
|
Net
asset value, end of period |
Total
return |
Total gross
expense ratio to average net assets(a) |
Total net
expense ratio to average net assets(a),(b) |
Net investment
income (loss) ratio to average net assets |
Portfolio
turnover |
Net
assets, end of period (000’s) |
|
| Class A | |||||||
| Year Ended 5/31/2020 | $6.96 | (6.58%) | 1.42%(c),(d) | 1.25%(c),(d) | 0.94% | 789% | $2,125 |
| Year Ended 5/31/2019 | $7.45 | (13.97%) | 1.45%(c) | 1.24%(c) | 0.98% | 0% | $3,103 |
| Year Ended 5/31/2018 | $8.66 | (5.49%) | 1.49%(c) | 1.28%(c) | 0.06% | 0% | $4,343 |
| Year Ended 5/31/2017 | $9.36 | (0.28%) | 1.61% | 1.41% | (0.95%) | 71% | $5,582 |
| Year Ended 5/31/2016 | $9.43 | (3.67%) | 2.09% | 1.39% | 0.49% | 32% | $18,579 |
| Advisor Class | |||||||
| Year Ended 5/31/2020 | $7.03 | (6.27%) | 1.17%(c),(d) | 0.99%(c),(d) | 1.15% | 789% | $133 |
| Year Ended 5/31/2019 | $7.50 | (13.79%) | 1.20%(c) | 1.01%(c) | 1.07% | 0% | $216 |
| Year Ended 5/31/2018 | $8.70 | (5.27%) | 1.24%(c) | 1.03%(c) | 0.41% | 0% | $4,433 |
| Year Ended 5/31/2017 | $9.39 | (0.06%) | 1.36% | 1.15% | (0.66%) | 71% | $552 |
| Year Ended 5/31/2016 | $9.45 | (3.42%) | 1.83% | 1.12% | 2.03% | 32% | $1,010 |
| Class C | |||||||
| Year Ended 5/31/2020 | $6.76 | (7.27%) | 2.17%(c),(d) | 1.99%(c),(d) | 0.21% | 789% | $220 |
| Year Ended 5/31/2019 | $7.29 | (14.64%) | 2.20%(c) | 1.99%(c) | 0.22% | 0% | $493 |
| Year Ended 5/31/2018 | $8.54 | (6.15%) | 2.24%(c) | 2.03%(c) | (0.68%) | 0% | $838 |
| Year Ended 5/31/2017 | $9.27 | (1.03%) | 2.36% | 2.16% | (1.68%) | 71% | $1,100 |
| Year Ended 5/31/2016 | $9.38 | (4.42%) | 2.84% | 2.14% | (0.34%) | 32% | $2,272 |
| Institutional Class | |||||||
| Year Ended 5/31/2020 | $7.02 | (6.28%) | 1.17%(c),(d) | 1.00%(c),(d) | 1.17% | 789% | $614,500 |
| Year Ended 5/31/2019 | $7.49 | (13.71%) | 1.20%(c) | 0.99%(c) | 1.23% | 0% | $587,203 |
| Year Ended 5/31/2018 | $8.68 | (5.35%) | 1.24%(c) | 1.03%(c) | 0.34% | 0% | $706,826 |
| Year Ended 5/31/2017 | $9.38 | 0.05% | 1.36% | 1.08% | (0.28%) | 71% | $520,564 |
| Year Ended 5/31/2016 | $9.43 | (3.63%) | 1.84% | 1.12% | (0.56%) | 32% | $3,450 |
| Institutional 2 Class | |||||||
| Year Ended 5/31/2020 | $7.05 | (6.25%) | 1.10%(c),(d) | 0.92%(c),(d) | 1.28% | 789% | $124 |
| Year Ended 5/31/2019 | $7.52 | (13.66%) | 1.11%(c) | 0.90%(c) | 1.32% | 0% | $667 |
| Year Ended 5/31/2018 | $8.71 | (5.08%) | 1.11%(c) | 0.90%(c) | 0.48% | 0% | $825 |
| Year Ended 5/31/2017 | $9.39 | (0.02%) | 1.21% | 0.93% | (0.33%) | 71% | $23 |
| Year Ended 5/31/2016 | $9.45 | (3.37%) | 1.62% | 1.04% | 0.69% | 32% | $9 |
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
37 |
Consolidated Financial Highlights (continued)
|
Net asset value,
beginning of period |
Net
investment income (loss) |
Net
realized and unrealized gain (loss) |
Total from
investment operations |
Distributions
from net investment income |
Total
distributions to shareholders |
|
| Institutional 3 Class | ||||||
| Year Ended 5/31/2020 | $7.53 | 0.09 | (0.55) | (0.46) | — | — |
| Year Ended 5/31/2019 | $8.72 | 0.11 | (1.30) | (1.19) | — | — |
| Year Ended 5/31/2018 | $9.41 | 0.05 | (0.51) | (0.46) | (0.23) | (0.23) |
| Year Ended 5/31/2017 | $9.45 | (0.01) | 0.03 | 0.02 | (0.06) | (0.06) |
| Year Ended 5/31/2016 | $9.86 | 0.07 | (0.40) | (0.33) | (0.08) | (0.08) |
| Class R | ||||||
| Year Ended 5/31/2020 | $7.39 | 0.05 | (0.55) | (0.50) | — | — |
| Year Ended 5/31/2019 | $8.61 | 0.06 | (1.28) | (1.22) | — | — |
| Year Ended 5/31/2018 | $9.33 | (0.02) | (0.50) | (0.52) | (0.20) | (0.20) |
| Year Ended 5/31/2017 | $9.41 | (0.10) | 0.05 | (0.05) | (0.03) | (0.03) |
| Year Ended 5/31/2016 | $9.84 | 0.01 | (0.40) | (0.39) | (0.04) | (0.04) |
| Notes to Consolidated Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
| Class | 5/31/2020 | 5/31/2019 | 5/31/2018 |
| Class A | 0.01% | 0.02% | 0.01% |
| Advisor Class | 0.01% | 0.02% | 0.01% |
| Class C | 0.01% | 0.02% | 0.01% |
| Institutional Class | 0.01% | 0.02% | 0.01% |
| Institutional 2 Class | 0.01% | 0.02% | 0.01% |
| Institutional 3 Class | 0.01% | 0.02% | 0.01% |
| Class R | 0.01% | 0.02% | 0.01% |
| (d) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to
Consolidated Financial Statements are an integral part of this statement.
| 38 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Consolidated Financial Highlights (continued)
|
Net
asset value, end of period |
Total
return |
Total gross
expense ratio to average net assets(a) |
Total net
expense ratio to average net assets(a),(b) |
Net investment
income (loss) ratio to average net assets |
Portfolio
turnover |
Net
assets, end of period (000’s) |
|
| Institutional 3 Class | |||||||
| Year Ended 5/31/2020 | $7.07 | (6.11%) | 1.05%(c),(d) | 0.88%(c),(d) | 1.30% | 789% | $14,960 |
| Year Ended 5/31/2019 | $7.53 | (13.65%) | 1.06%(c) | 0.84%(c) | 1.38% | 0% | $17,670 |
| Year Ended 5/31/2018 | $8.72 | (5.16%) | 1.05%(c) | 0.84%(c) | 0.50% | 0% | $20,459 |
| Year Ended 5/31/2017 | $9.41 | 0.21% | 1.18% | 0.88% | (0.07%) | 71% | $21,559 |
| Year Ended 5/31/2016 | $9.45 | (3.34%) | 1.57% | 0.99% | 0.72% | 32% | $9 |
| Class R | |||||||
| Year Ended 5/31/2020 | $6.89 | (6.77%) | 1.63%(c),(d) | 1.47%(c),(d) | 0.71% | 789% | $7 |
| Year Ended 5/31/2019 | $7.39 | (14.17%) | 1.69%(c) | 1.48%(c) | 0.75% | 0% | $7 |
| Year Ended 5/31/2018 | $8.61 | (5.80%) | 1.74%(c) | 1.53%(c) | (0.19%) | 0% | $9 |
| Year Ended 5/31/2017 | $9.33 | (0.50%) | 1.89% | 1.63% | (1.10%) | 71% | $9 |
| Year Ended 5/31/2016 | $9.41 | (3.92%) | 2.33% | 1.64% | 0.09% | 32% | $9 |
The accompanying Notes to Consolidated Financial
Statements are an integral part of this statement.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
39 |
Notes to Consolidated Financial
Statements
May 31, 2020
May 31, 2020
Note 1. Organization
Columbia Multi Strategy
Alternatives Fund (formerly known as Columbia Alternative Beta Fund) (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company
Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Effective August 1, 2019, Columbia
Alternative Beta Fund was renamed Columbia Multi Strategy Alternatives Fund.
Basis for consolidation
Effective September 24, 2019,
CMSAF1 Offshore Fund, Ltd., CMSAF2 Offshore Fund, Ltd. and CMSAF3 Offshore Fund, Ltd. (each, a Subsidiary) are each a Cayman Islands exempted company and wholly-owned subsidiary of the Fund. Prior to September 24,
2019, CMSAF1 Offshore Fund, Ltd. (formerly known as CAAF Offshore Fund, Ltd.) was the sole Subsidiary. Each Subsidiary acts as an investment vehicle in order to effect certain investment strategies consistent with the
Fund’s investment objective and policies as stated in its current prospectus and statement of additional information. In accordance with the Memorandum and Articles of Association of each Subsidiary (the
Articles), the Fund owns the sole issued share of each Subsidiary and retains all rights associated with such share, including the right to receive notice of, attend and vote at general meetings of the Subsidiaries,
rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiaries. The consolidated financial statements (financial statements) include the accounts of the
consolidated Fund and each respective Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and each Subsidiary. All intercompany
transactions and balances have been eliminated in the consolidation process.
At May 31, 2020, the Subsidiary
financial statement information is as follows:
| CMSAF1 Offshore Fund, Ltd. | CMSAF2 Offshore Fund, Ltd. | CMSAF3 Offshore Fund, Ltd. | |
| % of consolidated fund net assets | 0.00% | 5.43% | 2.87% |
| Net assets | $17,132 | $34,318,320 | $18,110,890 |
| Net investment income (loss) | 475,370 | 93,426 | 58,029 |
| Net realized gain (loss) | (13,786,126) | 1,526,380 | 3,400,555 |
| Net change in unrealized appreciation (depreciation) | 9,251,793 | (475,158) | (497,694) |
The financial statements present
the portfolio holdings, financial position and results of operations of the Fund and the Subsidiaries on a consolidated basis.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Consolidated Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and
liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may
have different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2
Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus.
| 40 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Debt securities generally are
valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take
into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for
which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or
less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer.
Investments in open-end investment
companies (other than ETFs), are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange
contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Option contracts are valued at the
mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using mid-market
evaluations from independent third-party vendors.
Swap transactions are valued
through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published
price for the security, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
41 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Consolidated Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Consolidated Statement of Operations.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities,
currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets),
for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks,
such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms
of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund
to gains or losses in excess of the amount shown in the Consolidated Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin
that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time
there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers
(including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among
other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty
certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment
in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or
prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
| 42 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by
netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount
of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully
collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense
paid by the Fund is shown on the Consolidated Statement of Operations. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources
to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights
if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether
termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities.
Forward foreign currency exchange
contracts
Forward foreign currency exchange
contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Fund utilized forward foreign currency exchange contracts to hedge the currency exposure
associated with some or all of the Fund’s securities, to shift investment exposure from one currency to another and to generate total return through long and short positions versus the U.S. dollar. These
instruments may be used for other purposes in future periods.
The values of forward foreign
currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is
exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires. Non-deliverable forward foreign currency exchange contracts are settled with the
counterparty in U.S. dollars without delivery of foreign currency.
The use of forward foreign currency
exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign
currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in
the Consolidated Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to produce incremental earnings, to manage the
duration and yield curve exposure of the Fund versus the benchmark, to manage exposure to movements in interest rates, to manage exposure to the securities market and to generate total return through long and short
positions. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and
may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the
underlying asset.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
43 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Consolidated Statement of Assets and Liabilities as margin deposits. Securities deposited as
initial margin are designated in the Consolidated Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change
in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires.
Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Consolidated Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle
the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the
index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased and wrote option contracts to protect gains and to manage exposure to fluctuations in interest rates. These
instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. Cash collateral may
be collected or posted by the Fund to secure certain over-the-counter option contract trades. Cash collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon
closure, exercise or expiration of the contract.
Options contracts purchased are
recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Consolidated Statement of
Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation
until the contract is exercised or has expired. The Fund will realize a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or
purchased put option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options
purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the
contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in
writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put
option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund
purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable
change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Interest rate swaption contracts
Interest rate swaption contracts
entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. Each interest rate swaption agreement
will specify if the buyer is entitled to receive the fixed or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized
appreciation or depreciation on options in the Consolidated Statement of Assets and Liabilities. Gain or loss is recognized in the Consolidated Statement of Operations when the interest rate swaption contract is
closed or expires.
When the Fund writes an interest
rate swaption contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Consolidated Statement of Assets and Liabilities and is subsequently
adjusted to reflect the current fair value of the interest rate swaption contract written. Premiums received from writing interest rate swaption contracts that expire unexercised are recorded by the Fund on the
expiration date as realized gains from options written in the Consolidated Statement of Operations. The difference between the premium and the
| 44 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
amount paid on effecting a closing purchase
transaction, including brokerage commissions, is also recorded as realized gain, or if the premium is less than the amount paid for the closing purchase, as realized loss. These amounts are reflected as net realized
gain (loss) on options written in the Consolidated Statement of Operations.
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap
contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit
initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap
contract. Securities deposited as initial margin are designated in the Consolidated Portfolio of Investments and cash deposited is recorded in the Consolidated Statement of Assets and Liabilities as margin deposits.
Unlike a bilateral swap contract, for centrally cleared swap contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the
contract. Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded
as a receivable or payable for variation margin in the Consolidated Statement of Assets and Liabilities.
Entering into these contracts
involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the
possibility that there may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or
price which may result in significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
Credit default swap contracts
The Fund entered into credit
default swap contracts to increase or decrease its credit exposure to an index. These instruments may be used for other purposes in future periods. Credit default swap contracts are agreements in which one party pays
fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are contract
specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit
default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange
for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the
value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default
swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference
obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery
value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of
undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may
be partially offset by any recovery values of the respective reference obligations or upfront receipts upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in
which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Consolidated Portfolio of Investments.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
45 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
As a protection seller, the Fund
bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an
indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s
credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any upfront payments or receipts by
the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Consolidated Statement of Operations.
Credit default swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can
involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging
risk, correlation risk and liquidity risk.
Interest rate swap contracts
The Fund entered into interest rate
swap transactions which may include inflation rate swap contracts to manage interest rate and market risk exposure to produce incremental earnings, to gain exposure to or protect itself from market rate changes, to
synthetically add or subtract principal exposure to a market and to obtain long and short exposure to the total return on a reference index in return for periodic payments based on a fixed or variable interest rate.
These instruments may be used for other purposes in future periods. An interest rate swap is an agreement between two parties where there are two flows and payments are made between the two counterparties and the
payments are dependent upon changes in an interest rate, inflation rate or inflation index calculated on a nominal amount. Interest rate swaps are agreements between two parties that involve the exchange of one type
of interest rate for another type of interest rate cash flow on specified dates in the future, based on a predetermined, specified notional amount. Certain interest rate swaps are considered forward-starting, whereby
the accrual for the exchange of cash flows does not begin until a specified date in the future. The net cash flow for a standard interest rate swap transaction is generally the difference between a floating market
interest rate versus a fixed interest rate.
Interest rate swaps are valued
daily and unrealized appreciation (depreciation) is recorded. Certain interest rate swaps may accrue periodic interest on a daily basis as a component of unrealized appreciation (depreciation); the Fund will realize a
gain or loss upon the payment or receipt of accrued interest. The Fund will realize a gain or a loss when the interest rate swap is terminated.
Total return basket swap contracts
The Fund entered into total return
basket swap transactions. These instruments allow the Fund to manage exposure to a custom basket of securities and foreign markets (both long and short exposures) without owning or taking physical custody of such
securities. Under the terms of the contract, payments made by the Fund or the counterparty are based on the total return of the reference assets within the basket in return for a specified interest rate. The contract
allows the Investment Manager of the Fund to alter the composition of the custom basket by trading in and out of the notional reference security positions at its discretion.
The total return basket swap is
valued daily, and the change in value is recorded as unrealized appreciation (depreciation). The swap resets monthly at which time the Fund settles in cash with the counterparty. Payments received (or made) by the
Fund are recorded as realized gains (losses). Total return basket swaps are subject to the risk associated with the investment in the reference securities within the basket. The risk in the case of short swaps
transactions is unlimited based on the potential for unlimited increases in the market value of the reference securities in the basket. The risk may be offset if the Fund holds any of the reference securities. The
risk in the case of long swap transactions is limited to the current notional amount of the swap.
| 46 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
Total return swap contracts
The Fund entered into total return
swap contracts to manage long or short exposure to the total return on a basket of reference securities in return for periodic payments based on a fixed or variable interest rate and to manage long or short exposure
to the total return on a reference security index in return for periodic payments based on a fixed or variable interest rate. These instruments may be used for other purposes in future periods. Total return swap
contracts may be used to obtain exposure to an underlying reference security, instrument, or other asset or index or market without owning, taking physical custody of, or short selling any such security, instrument or
asset in a market.
Total return swap contracts are
valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time the Fund will realize a gain (loss). Periodic payments received (or made) by
the Fund over the term of the contract are recorded as realized gains (losses). Total return swap contracts are subject to the risk associated with the investment in the underlying reference security, instrument or
asset. The risk in the case of short total return swap contracts is unlimited based on the potential for unlimited increases in the market value of the underlying reference security, instrument or asset. This risk may
be offset if the Fund holds any of the underlying reference security, instrument or asset. The risk in the case of long total return swap contracts is limited to the current notional amount of the total return swap
contract.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Consolidated Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Consolidated Statement of Operations, including realized and unrealized gains (losses). The derivative
instrument schedules following the Consolidated Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at May 31, 2020:
| Asset derivatives | ||
|
Risk exposure
category |
Consolidated statement
of assets and liabilities location |
Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 2,286,948* |
| Credit risk | Upfront payments on swap contracts | 313,409 |
| Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 16,431,275* |
| Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 1,068,824* |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 33,445,018 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 701,860* |
| Interest rate risk | Investments, at value — Options purchased | 36 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 18,456,288* |
| Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 2,372,215* |
| Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 103,706* |
| Total | 75,179,579 |
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
47 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Consolidated Statement of Operations for the year ended May 31, 2020:
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended May 31, 2020:
| Derivative instrument |
Average notional
amounts ($) |
| Futures contracts — long | 382,683,832* |
| Futures contracts — short | 455,500,177* |
| Credit default swap contracts — buy protection | 13,553,750* |
| Credit default swap contracts — sell protection | 7,384,813** |
| 48 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
| Derivative instrument |
Average
value ($)* |
| Options contracts — purchased | 1,304,253 |
| Options contracts — written | (963,015) |
| Derivative instrument |
Average unrealized
appreciation ($)* |
Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 16,703,734 | (17,997,688) |
| Interest rate swap contracts | 13,293,379 | (6,703,790) |
| Total return swap contracts | 2,082,653 | (2,330,815) |
| * | Based on the ending quarterly outstanding amounts for the year ended May 31, 2020. |
| ** | Based on the ending daily outstanding amounts for the year ended May 31, 2020. |
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed
and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion,
of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate
will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a
To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered.
Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities
Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA
maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage
“dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type,
coupon and maturity) on a specified future date. During the roll period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives
negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The
Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized gains exceed the income, capital appreciation, and gain or loss due to
mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment performance of the Fund compared to what the
performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid securities in
an amount equal to the forward purchase price.
For financial reporting and tax
purposes, the Fund treats “to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may
increase the Fund’s portfolio turnover rate. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
49 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
Mortgage dollar rolls involve the
risk that the market value of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
Interest only and principal only
securities
The Fund may invest in Interest
Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates
and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the
issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income on the Consolidated Statement of Operations. Because no principal will be received at
the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Consolidated Statement of Operations. POs are
stripped securities entitled to receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in
price. POs are also subject to credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or
PO stripped mortgage-backed securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
| 50 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of May 31, 2020:
|
Citi
($)(a) |
Citi
($)(a) |
Citi
($)(a) |
Citi
($)(a) |
Credit
Suisse ($) |
Goldman
Sachs ($) |
HSBC
($)(a) |
JPMorgan
($) |
Morgan
Stanley ($)(a) |
Morgan
Stanley ($)(a) |
Morgan
Stanley ($)(a) |
Morgan
Stanley ($)(a) |
Morgan
Stanley ($)(a) |
UBS
($) |
Total
($) |
|
| Assets | |||||||||||||||
| Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | - | - | - | - | - | - | 64,532 | - | 64,532 |
| Centrally cleared interest rate swap contracts (b) | - | - | 25,722 | - | 523,435 | - | - | - | - | - | - | - | 734,082 | - | 1,283,239 |
| Forward foreign currency exchange contracts | 968,971 | 18,455,641 | - | - | - | 13,724 | 3,156,734 | - | - | 4,159,528 | - | 5,787,406 | - | 903,014 | 33,445,018 |
| Options purchased puts | 36 | - | - | - | - | - | - | - | - | - | - | - | - | - | 36 |
| OTC credit default swap contracts (c) | - | - | - | - | - | - | - | - | 1,671,872 | - | - | - | - | - | 1,671,872 |
| OTC total return swap contracts (c) | - | - | - | - | - | - | - | 105,346 | - | - | - | - | - | - | 105,346 |
| OTC total return swap contracts on futures (c) | - | 84,974 | - | 103,706 | - | - | - | 22,911 | - | - | 910 | 854,683 | - | - | 1,067,184 |
| Total assets | 969,007 | 18,540,615 | 25,722 | 103,706 | 523,435 | 13,724 | 3,156,734 | 128,257 | 1,671,872 | 4,159,528 | 910 | 6,642,089 | 798,614 | 903,014 | 37,637,227 |
| Liabilities | |||||||||||||||
| Centrally cleared interest rate swap contracts (b) | - | - | 41,895 | - | 475,588 | - | - | - | - | - | - | - | 1,426,287 | - | 1,943,770 |
| Forward foreign currency exchange contracts | 1,375,557 | 18,595,606 | - | - | - | - | 3,317,858 | - | - | 3,441,497 | - | 8,157,774 | - | 3,349 | 34,891,641 |
| OTC credit default swap contracts (c) | - | - | - | - | - | - | - | - | 1,114,581 | - | - | - | - | - | 1,114,581 |
| OTC total return swap contracts (c) | - | - | - | - | - | - | - | 17,025 | - | - | - | - | - | - | 17,025 |
| OTC total return swap contracts on futures (c) | - | 123,009 | - | - | - | - | - | 59,634 | - | - | - | 1,881,609 | - | - | 2,064,252 |
| Total liabilities | 1,375,557 | 18,718,615 | 41,895 | - | 475,588 | - | 3,317,858 | 76,659 | 1,114,581 | 3,441,497 | - | 10,039,383 | 1,426,287 | 3,349 | 40,031,269 |
| Total financial and derivative net assets | (406,550) | (178,000) | (16,173) | 103,706 | 47,847 | 13,724 | (161,124) | 51,598 | 557,291 | 718,031 | 910 | (3,397,294) | (627,673) | 899,665 | (2,394,042) |
| Total collateral received (pledged) (d) | - | (178,000) | - | 103,706 | - | - | - | - | 548,000 | - | - | (3,397,294) | (627,673) | - | (3,551,261) |
| Net amount (e) | (406,550) | - | (16,173) | - | 47,847 | 13,724 | (161,124) | 51,598 | 9,291 | 718,031 | 910 | - | - | 899,665 | 1,157,219 |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Consolidated Statement of Assets and Liabilities. |
| (c) | Over-the-Counter (OTC) Swap Contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
| (d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (e) | Represents the net amount due from/(to) counterparties in the event of default. |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
51 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security
is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Dividend income is recorded on the
ex-dividend date.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Consolidated Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily
basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Recent accounting pronouncement
Accounting Standards Update 2020-04
Reference Rate Reform
| 52 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
In March 2020, the Financial
Accounting Standards Board issued Accounting Standards Update (ASU) No. 2020-04 Reference Rate Reform – Facilitation of the Effects of Reference Rate Reform on Financial Statements. This standard provides
exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected by reference rate reform if certain criteria are met. The standard is elective and effective on March 12,
2020 through December 31, 2022. The Fund expects that the adoption of the guidance will not have a material impact on its financial statements.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by the
Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary responsibility for the day-to-day portfolio management of their portion of the Fund. The management services fee is an annual fee
that is equal to a percentage of the Fund’s daily net assets that declines from 0.96% to 0.93% as the Fund’s net assets increase. The effective management services fee rate, net of waivers, for the year
ended May 31, 2020 was 0.89% of the Fund’s average daily net assets.
Prior to October 1, 2019, the
Investment Manager had contractually agreed to waive 0.21% of the management fee.
Subadvisory agreements
Effective September 24, 2019, the
Investment Manager has entered into Subadvisory Agreements with AQR Capital Management, LLC and QMA LLC, each of which subadvises a portion of the assets of the Fund. New investments in the Fund, net of any
redemptions, are allocated in accordance with the Investment Manager’s determination, subject to the oversight of the Fund’s Board of Trustees. Each subadviser’s proportionate share of investments in
the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage a portion of the Fund’s assets.
In addition, the Fund’s Board
of Trustees has approved a subadvisory agreement between the Investment Manager and Threadneedle International Limited (Threadneedle), an affiliate of the Investment Manager and an indirect wholly-owned subsidiary of
Ameriprise Financial. As of May 31, 2020, Threadneedle is not providing services to the Fund pursuant to the subadvisory agreement.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Consolidated Statement of Operations. These members of the Board
of Trustees may participate in a Deferred Compensation Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts
payable under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Consolidated Statement of Operations, a portion of the Chief Compliance Officer’s total compensation
is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as
sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
53 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the year ended May 31, 2020,
the Fund’s effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Class A | 0.13 |
| Advisor Class | 0.13 |
| Class C | 0.13 |
| Institutional Class | 0.13 |
| Institutional 2 Class | 0.07 |
| Institutional 3 Class | 0.01 |
| Class R | 0.10 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Consolidated Statement of Operations. For the year ended May 31, 2020, no minimum account balance fees were charged by
the Fund.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.75% and 0.50% of the average daily net assets attributable to Class C and Class R shares of the Fund, respectively.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended May 31, 2020, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 5.75 | 0.50 - 1.00(a) | 3,128 |
| Class C | — | 1.00(b) | — |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
| 54 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from
the Investment Manager, certain of its affiliates and the Fund. In addition to the contractual agreement, the Investment Manager and certain of its affiliates have voluntarily agreed to waive fees and/or reimburse
Fund expenses (excluding certain fees and expenses described above) so that Fund level expenses (expenses directly attributable to the Fund and not to a specific share class) are waived proportionately across all
share classes, but the Fund’s net operating expenses shall not exceed the contractual annual rates listed in the table above. This arrangement may be revised or discontinued at any time. Any fees waived and/or
expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods. Reflected in the cap commitments, prior to October 1,
2019, is the Investment Manager’s contractual agreement to waive 0.21% of its management fee.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At May 31, 2020, these differences
were primarily due to differing treatment for trustees’ deferred compensation, derivative investments, tax straddles, late-year ordinary losses, non-deductible expenses, capital loss carryforward, swap
investments, principal and/or interest of fixed income securities, investments in partnerships, foreign currency transactions, net operating loss, and investments in commodity subsidiaries. To the extent these
differences were permanent, reclassifications were made among the components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications
were made:
|
Excess of distributions
over net investment income ($) |
Accumulated
net realized (loss) ($) |
Paid in
capital ($) |
| (12,787,144) | 13,021,494 | (234,350) |
Net investment income (loss) and
net realized gains (losses), as disclosed in the Consolidated Statement of Operations, and net assets were not affected by this reclassification.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
55 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
For the years ended May 31, 2020
and May 31, 2019, there were no distributions.
At May 31, 2020, the components of
distributable earnings on a tax basis were as follows:
|
Undistributed
ordinary income ($) |
Undistributed
long-term capital gains ($) |
Capital loss
carryforwards ($) |
Net unrealized
(depreciation) ($) |
| — | — | (72,742,578) | (1,528,888) |
At May 31, 2020, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
|
Federal
tax cost ($) |
Gross unrealized
appreciation ($) |
Gross unrealized
(depreciation) ($) |
Net unrealized
(depreciation) ($) |
| 782,188,057 | 4,339,310 | (5,868,198) | (1,528,888) |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at May 31, 2020, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. In addition, for the year ended May 31,
2020, capital loss carryforwards utilized, if any, were as follows:
|
No expiration
short-term ($) |
No expiration
long-term ($) |
Total ($) | Utilized ($) |
| (57,398,031) | (15,344,547) | (72,742,578) | — |
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
As of May 31, 2020, the Fund will elect to treat the following late-year ordinary losses and post-October capital losses as arising on June 1, 2020.
|
Late year
ordinary losses ($) |
Post-October
capital losses ($) |
| 14,651,979 | — |
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $2,400,327,810 and $2,044,096,062, respectively, for the year ended May 31, 2020, of which $2,087,722,061 and
$1,918,275,018, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Consolidated Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests significantly in
Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is
included as Dividends - affiliated issuers in the Consolidated Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF
prices its shares
| 56 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
with a floating net asset value. In addition, the
Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event
its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the year ended May 31, 2020.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and
not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the
one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a
commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Consolidated Statement of Operations. This
agreement expires annually in December unless extended or renewed.
For the year ended May 31, 2020,
the Fund’s borrowing activity was as follows:
|
Average loan
balance ($) |
Weighted average
interest rate (%) |
Days
outstanding |
| 500,000 | 2.09 | 2 |
Interest expense incurred by the
Fund is recorded as a line of credit interest expense in the Consolidated Statement of Operations. The Fund had no outstanding borrowings at May 31, 2020.
Note 9. Significant
risks
Alternative strategies investment
risk
An investment in alternative
investment strategies (Alternative Strategies) involves risks, which may be significant. Alternative Strategies may include strategies, instruments or other assets, such as derivatives, that seek investment returns
uncorrelated with the broad equity and fixed income/debt markets, as well as those providing exposure to other markets (such as commodity markets), including but not limited to absolute (positive) return strategies.
Alternative Strategies may fail to achieve their desired performance, market or other exposure, or their returns (or lack thereof) may be more correlated with the broad equity and/or fixed income/debt markets than was
anticipated, and the Fund may lose money.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
57 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative
instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency or
index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund.
Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging
risk, leverage risk, liquidity risk and pricing risk.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise.
Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative
impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates. The Fund is subject
to the risk that the income generated by its investments may not keep pace with inflation.
Leverage risk
Leverage occurs when the Fund
increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. The use of leverage may produce volatility and may exaggerate changes in the NAV of Fund
shares and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested. Because short sales involve borrowing securities and then selling them, the
Fund’s short sales effectively leverage the Fund’s assets. The Fund’s assets that are used as collateral to secure the Fund’s obligations to return the securities sold short may decrease in
value while the short positions are outstanding, which may force the Fund to use its other assets to increase the collateral. Leverage can create an interest expense that may lower the Fund’s overall returns.
Leverage presents the opportunity for increased net income and capital gains, but may also exaggerate the Fund’s volatility and risk of loss. There can be no guarantee that a leveraging strategy will be
successful.
LIBOR replacement risk
The elimination of London
Inter-Bank Offered Rate (LIBOR), among other "inter-bank offered" reference rates, may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. The U.K.
Financial Conduct Authority has announced that it intends to stop compelling or inducing banks to submit LIBOR rates after 2021. However, it remains unclear if LIBOR will continue to exist in its current, or a
modified, form. Alternatives to LIBOR are established or in development in most major currencies including the Secured Overnight Financing Rate (SOFR), that is intended to replace U.S. dollar LIBOR. Markets are slowly
developing in response to these new reference rates. Questions around liquidity impacted by these rates, and how to appropriately adjust these rates at the time of transition, remain a concern for the Fund. The effect
of any changes to, or discontinuation of, LIBOR on the Fund will vary, and it is difficult to predict the full impact of the transition away from LIBOR on the Fund until new reference rates and fallbacks for both
legacy and new products, instruments and contracts are commercially accepted and market practices become settled.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity.
| 58 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
Generally, the less liquid the market at the time
the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and
net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The coronavirus disease 2019
(COVID-19) public health crisis has become a pandemic that has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access,
resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions,
workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken
by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness
outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness
outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may
exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a
timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of its employees and to assure the continuity of its
business operations, the Investment Manager and its affiliates have implemented a work from home protocol for virtually all of its employee population, restricted business travel, and provided resources for complying
with the guidance from the World Health Organization, the U.S. Centers for Disease Control and governments. The Investment Manager’s operations teams seek to operate without significant disruptions in service.
Its pandemic strategy takes into consideration that a pandemic could be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. The Fund cannot,
however, predict the impact that natural or man-made disasters, including the COVID-19 pandemic, may have on the ability of the Investment Manager, its employees and third-party service providers to continue ordinary
business operations and technology functions over near- or longer-term periods.
Money market fund investment risk
An investment in a money market
fund is not a bank deposit and is not insured or guaranteed by any bank, the FDIC or any other government agency. Certain money market funds float their net asset value while others seek to preserve the value of
investments at a stable net asset value (typically, $1.00 per share). An investment in a money market fund, even an investment in a fund seeking to maintain a stable net asset value per share, is not guaranteed and it
is possible for the Fund to lose money by investing in these and other types of money market funds. If the liquidity of a money market fund’s portfolio deteriorates below certain levels, the money market fund
may suspend redemptions (i.e., impose a redemption gate) and thereby prevent the Fund from selling its investment in the money market fund or impose a fee of up to 2% on amounts the
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
59 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
Fund redeems from the money market fund (i.e.,
impose a liquidity fee). These measures may result in an investment loss or prohibit the Fund from redeeming shares when the Investment Manager would otherwise redeem shares. In addition to the fees and expenses that
the Fund directly bears, the Fund indirectly bears the fees and expenses of any money market funds in which it invests, including affiliated money market funds. By investing in a money market fund, the Fund will be
exposed to the investment risks of the money market fund in direct proportion of such investment. To the extent the Fund invests in instruments such as derivatives, the Fund may hold investments, which may be
significant, in money market fund shares to cover its obligations resulting from the Fund’s investments in derivatives. Money market funds and the securities they invest in are subject to comprehensive
regulations. The enactment of new legislation or regulations, as well as changes in interpretation and enforcement of current laws, may affect the manner of operation, performance and/or yield of money market
funds.
Mortgage- and other asset-backed
securities risk
The value of any mortgage-backed
and other asset-backed securities including collateralized debt obligations, if any, held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the
interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements;
or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by
the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities
issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than
obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in
mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest
payments to mortgage-backed securities holders, including the Fund. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more
sensitive to changes in interest rates.
Non-diversification risk
A non-diversified fund is permitted
to invest a greater percentage of its total assets in fewer issuers than a diversified fund. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of
the Fund more than it would affect that of a diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At May 31, 2020, affiliated
shareholders of record owned 98.5% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued. Other than as noted below, there were no items requiring adjustment of the financial statements or additional
disclosure.
The Fund’s Board of Trustees
approved reverse stock splits of the issued and outstanding shares of the Fund (the Reverse Stock Split). This event does not affect the overall net assets of the class. The Reverse Stock Split is expected to occur in
the second half of 2020.
| 60 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
Notes to Consolidated Financial
Statements (continued)
May 31, 2020
May 31, 2020
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in
connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject
of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with
the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to
Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
61 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia Multi Strategy Alternatives Fund
Opinion on the Financial
Statements
We have audited the accompanying
consolidated statement of assets and liabilities, including the consolidated portfolio of investments, of Columbia Multi Strategy Alternatives Fund and its subsidiaries (one of the funds constituting Columbia Funds
Series Trust I, referred to hereafter as the "Fund") as of May 31, 2020, the related consolidated statement of operations for the year ended May 31, 2020, the consolidated statement of changes in net assets for each
of the two years in the period ended May 31, 2020, including the related notes, and the consolidated financial highlights for each of the five years in the period ended May 31, 2020 (collectively referred to as the
“consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of
its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the five years in the period ended May 31, 2020
in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These consolidated financial
statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s consolidated financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these
consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial
statements are free of material misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by
management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian,
transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 23, 2020
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 62 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
TRUSTEES AND
OFFICERS
The Board oversees the
Fund’s operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the
Fund’s Trustees as of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth
beneath Length of Service in the table below is the year in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board
policy, members serve terms of indefinite duration.
Independent trustees
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
|
Janet Langford Carrig
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 |
Trustee
1996 |
Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 67 | Director, EQT Corporation (natural gas producer) |
|
Douglas A. Hacker
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 |
Trustee and Chairman of the Board
1996 |
Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 67 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
|
Nancy T. Lukitsh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 |
Trustee
2011 |
Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 67 | None |
|
David M. Moffett
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Trustee
2011 |
Retired. Consultant to Bridgewater and Associates | 67 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
63 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
|
John J. Neuhauser
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 |
Trustee
1984 |
President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 67 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
|
Patrick J. Simpson
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 |
Trustee
2000 |
Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 67 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Consultants to the Independent
Trustees*
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
|
J. Kevin Connaughton
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 |
Independent Trustee Consultant
2016 |
Independent Trustee Consultant, Columbia Funds since March 2016; Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 67 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
| 64 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
TRUSTEES AND OFFICERS (continued)
Consultants to the Independent Trustees* (continued)
Consultants to the Independent Trustees* (continued)
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
|
Olive Darragh
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 |
Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 67 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
|
Natalie A. Trunow
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 |
Independent Trustee Consultant
2016 |
Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management, Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 67 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
| * | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. |
Interested trustee affiliated with
Investment Manager*
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
|
William F. Truscott
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 |
Trustee
2012 |
Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle | 164 | Trustee, Columbia Funds since November 2001 |
| * | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
65 |
TRUSTEES AND OFFICERS (continued)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Fund officers
|
Name,
address and year of birth |
Position and year
first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof |
Principal occupation(s) during past five years |
|
Christopher O. Petersen
5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 |
President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously Vice President and Chief Counsel, January 2010 - December 2014); officer of Columbia Funds and affiliated funds since 2007. |
|
Michael G. Clarke
225 Franklin Street Boston, MA 02110 Born 1969 |
Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President, Head of North American Operations, and Co-Head of Global Operations, – Accounting and Tax, Columbia Management Investment Advisers, LLC, since June 2019 (previously Vice President – Accounting and Tax, May 2010 – May 2019); senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009 – January 2019 and December 2015 – January 2019, respectively). |
|
Joseph Beranek
5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 |
Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President – Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously Vice President – Pricing and Corporate Actions, May 2010 - March 2017). |
|
Paul B. Goucher
485 Lexington Avenue New York, NY 10017 Born 1968 |
Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since March 2015 (previously Vice President and Assistant Secretary, May 2010 – March 2015). |
|
Thomas P. McGuire
225 Franklin Street Boston, MA 02110 Born 1972 |
Senior Vice President and Chief Compliance Officer (2012) | Vice President – Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
|
Colin Moore
225 Franklin Street Boston, MA 02110 Born 1958 |
Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
|
Ryan C. Larrenaga
225 Franklin Street Boston, MA 02110 Born 1970 |
Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
|
Daniel J. Beckman
225 Franklin Street Boston, MA 02110 Born 1962 |
Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
|
Michael E. DeFao
225 Franklin Street Boston, MA 02110 Born 1968 |
Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
| 66 | Columbia Multi Strategy Alternatives Fund | Annual Report 2020 |
TRUSTEES AND OFFICERS (continued)
Fund officers (continued)
Fund officers (continued)
|
Name,
address and year of birth |
Position and year
first appointed to position for any Fund in the Columbia Funds Complex or a predecessor thereof |
Principal occupation(s) during past five years |
|
Lyn Kephart-Strong
5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 |
Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Liquidity Risk
Management Program
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018,
through December 31, 2019, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
|
Columbia Multi Strategy Alternatives Fund | Annual Report 2020
|
67 |
Columbia Multi Strategy Alternatives Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN259_05_K01_(07/20)
Annual Report
May 31, 2020
May 31, 2020
Columbia Dividend
Income Fund
Beginning on January 1, 2021, as
permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you
specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified
by mail and provided with a website address to access the report.
If you have already elected to
receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically
at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging
into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future
reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you
invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia
Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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Columbia Dividend Income Fund (the
Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT
filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling
800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors,
Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Dividend Income Fund | Annual
Report 2020
Fund at a Glance
Investment objective
The Fund
seeks total return, consisting of current income and capital appreciation.
Portfolio management
Scott Davis
Lead Portfolio Manager
Managed Fund since 2001
Michael Barclay, CFA
Portfolio Manager
Managed Fund since 2011
Peter Santoro, CFA
Portfolio Manager
Managed Fund since 2014
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows
investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2020 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
Returns for Class A shares and Class
V shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s
other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales
charges and fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund
distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its
affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Institutional Class shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
The Russell 1000 Index measures the
performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 1000 of the largest securities based on a combination of their market cap and
current index membership. The Russell 1000 Index represents approximately 92% of the U.S. market.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Fund performance may be significantly
negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in
unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.
|
Columbia Dividend Income Fund | Annual Report 2020
|
3 |
Fund at a Glance (continued)
Performance of a hypothetical $10,000 investment (May 31, 2010 — May 31, 2020)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia Dividend Income Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund distributions
or on the redemption of Fund shares.
| Portfolio breakdown (%) (at May 31, 2020) | |
| Common Stocks | 95.7 |
| Convertible Preferred Stocks | 0.4 |
| Money Market Funds | 3.9 |
| Total | 100.0 |
Percentages indicated are based
upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Percentages indicated are based
upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Dividend Income Fund | Annual Report 2020 |
Manager Discussion of Fund Performance
For the 12-month period that ended
May 31, 2020, the Fund’s Class A shares returned 6.26% excluding sales charges. The Fund underperformed its benchmark, the Russell 1000 Index, which returned 12.54% over the same time period. Growth-oriented
securities, many of which pay no dividends, continued to dominate market leadership, and the Fund’s mandate to invest in dividend-paying equities left it unable to hold many of the top-performing stocks in the
benchmark. Despite the Fund’s underperformance relative to the benchmark, the Fund substantially outperformed most other value-focused equity funds, finishing in the top 7% of its Morningstar category. Strong
stock selection and a focus on quality and diversification helped the Fund’s performance during a highly-turbulent period for equities.
A year of unprecedented volatility
for equity markets
Trade concerns weighed on
equities early in the 12-month period that ended May 31, 2020, as relations between the U.S. and China worsened dramatically, leading to higher tariffs and heightened uncertainty about the growth outlook for the
global economy. After more than 10 years without a rate cut, the U.S. Federal Reserve (Fed) implemented three successive quarter-point reductions in the federal funds target rate between July and October 2019. Equity
performance nonetheless remained subdued during most of the first half of the period as trade negotiations had a mixed tone.
The second half of the period began
on a more positive note, as the U.S. and China announced their "phase one" trade agreement in mid-December. Equities responded by advancing to record levels. However, the emergence of the COVID-19 pandemic caused an
unprecedented rapid reversal in the stock market, as containment measures essentially brought the global economy to a halt. Equities moved sharply lower between mid-February and late-March 2020 as investors rotated
out of risk assets. In response, the Fed cut short-term interest rates to zero and turned to emergency asset purchase and credit programs similar to those used during the financial crisis in 2008 and 2009, while
Congress passed a $2.2 trillion stimulus package. These aggressive measures on the fiscal and monetary policy fronts helped stocks mount a strong recovery, leading to solid positive results over the full period.
Bonds generally underperformed
equities for the 12-month period. The Bloomberg Barclays U.S. Aggregate Bond Index, a broad measure of investment-grade bonds, returned 9.42%, while the S&P 500 Index, a broad measure of U.S. stock returns, gained
12.84% for the same period.
Contributors and detractors
On a sector basis, stock
selection within the real estate, industrials, and utilities sectors contributed to the Fund’s performance relative to the benchmark. In real estate, positions in Digital Realty Trust, Inc. and Crown Castle
International Corp. were standout performers. Digital Realty Trust owns data centers that enterprise customers use to manage their cloud computing operations, while Crown Castle owns cellular towers and leases space
to wireless network providers and other digital communications users. Both real estate investment trusts benefited from favorable conditions in the information technology and communication services sectors. In
industrials, the Fund’s lack of exposure to The Boeing Company and General Electric Company proved beneficial. Among utilities, we continued to focus on those companies that operate in jurisdictions in which we
believed regulation was favorable and jurisdictions where utility companies were allowed to invest heavily and recoup expenditures through rate increases. These positions performed strongly during the period,
highlighted by positive contributions from NextEra Energy, Inc. The Fund also benefited from not owning positions in Exelon Corporation and Duke Energy Corporation.
Conversely, stock selection within
information technology was the primary detractor from performance relative to the benchmark. Specifically, the Fund’s strategic decision to maintain underweight allocations to Apple and Microsoft weighed on
returns, as both stocks rose dramatically. Despite the Fund’s underweight relative to the benchmark, Apple and Microsoft remained among the 10 largest holdings in the Fund. Moreover, semiconductor equipment
companies KLA Corp. and LAM Research Corp. were among the top individual stock contributors. Both companies benefited from greater demand for semiconductors in electronic devices, as LAM Research’s high-quality
production lines and KLA’s testing equipment helped customers produce semiconductor chips more efficiently. Microprocessor chipmaker Intel Corp. also added to relative performance as it extended its addressable
market beyond PCs to include servers, which were in high demand.
|
Columbia Dividend Income Fund | Annual Report 2020
|
5 |
Manager Discussion of Fund Performance (continued)
Similarly, the health care sector
also weighed on relative performance, as the Fund was unable to hold small, non-dividend paying biotechnology stocks, many of which outperformed during the period. Overweight allocations to pharmaceutical companies
Merck & Co., Inc. and Pfizer, Inc. also hurt returns, although the Fund’s position in Bristol-Myers Squibb Co. performed well as the company made strides toward integrating its operations with those of the
recently acquired Celgene Corporation.
Finally, the Fund’s
positioning in the financial and communication services sectors detracted from relative returns. Within financials, an overweight position in banks detracted from performance, most notably the Fund’s positions
in U.S. Bancorp, Wells Fargo & Co., and Bank of America Corp. Sentiment with respect to the banking industry was negatively impacted as the economic outlook shifted toward a more recessionary view late in the
period and the yield curve flattened. In addition, higher default rates raised concerns about dividend sustainability. Insurance company Chubb Ltd. was also a notable detractor, as investors worried about potential
claim liability for business interruptions stemming from the COVID-19 pandemic. In communication services, the Fund’s lack of positions in non-dividend-paying stocks Facebook, Inc. and Alphabet Inc. detracted
significantly from performance, as both companies performed well as investors focused on growth plays even during the late-period downturn.
At period’s end
Our disciplined management
process prevented us from investing in some of the stocks that led market performance during the difficult market conditions that prevailed throughout much of the 12-month period. However, we continue to believe that
our focus on maintaining a diversified portfolio of high-quality companies with strong free cash flows will serve our shareholders well over the long run.
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Value securities may be unprofitable if the market fails to recognize their intrinsic worth or the portfolio manager misgauged that worth. Foreign investments subject the Fund to risks, including political, economic, market, social and others within a particular country, as well as to currency instabilities and less stringent
financial and accounting standards generally applicable to U.S. issuers. Dividend payments are not guaranteed and the amount, if any, can vary over time. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and net asset value. Falling rates may result in the Fund investing in
lower yielding debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. The Fund may invest significantly in issuers within a particular
sector, which may be negatively affected by market, economic or other conditions, making the Fund more vulnerable to unfavorable developments in the sector. See the Fund’s prospectus for more information on
these and other risks.
The views expressed in this report
reflect the current views of the respective parties who contributed to the report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to
predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties
disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an
indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
| 6 | Columbia Dividend Income Fund | Annual Report 2020 |
Understanding Your Fund’s
Expenses
(Unaudited)
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 366.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
|
Columbia Dividend Income Fund | Annual Report 2020
|
7 |
Portfolio of Investments
May 31, 2020
May 31, 2020
(Percentages represent value of
investments compared to net assets)
Investments in securities
| Common Stocks 95.5% | ||
| Issuer | Shares | Value ($) |
| Communication Services 4.1% | ||
| Diversified Telecommunication Services 2.1% | ||
| AT&T, Inc. | 4,900,000 | 151,214,000 |
| Verizon Communications, Inc. | 4,825,000 | 276,858,500 |
| Total | 428,072,500 | |
| Media 2.0% | ||
| Comcast Corp., Class A | 10,675,000 | 422,730,000 |
| Total Communication Services | 850,802,500 | |
| Consumer Discretionary 5.4% | ||
| Hotels, Restaurants & Leisure 0.8% | ||
| McDonald’s Corp. | 845,000 | 157,440,400 |
| Internet & Direct Marketing Retail 0.5% | ||
| eBay, Inc. | 2,545,000 | 115,899,300 |
| Multiline Retail 1.6% | ||
| Target Corp. | 2,635,000 | 322,339,550 |
| Specialty Retail 2.5% | ||
| Home Depot, Inc. (The) | 2,075,000 | 515,596,000 |
| Total Consumer Discretionary | 1,111,275,250 | |
| Consumer Staples 8.0% | ||
| Beverages 1.5% | ||
| PepsiCo, Inc. | 2,265,000 | 297,960,750 |
| Food & Staples Retailing 1.4% | ||
| Walmart, Inc. | 2,340,000 | 290,300,400 |
| Food Products 1.1% | ||
| Hershey Co. (The) | 780,000 | 105,830,400 |
| Mondelez International, Inc., Class A | 2,275,000 | 118,573,000 |
| Total | 224,403,400 | |
| Household Products 3.0% | ||
| Kimberly-Clark Corp. | 1,600,000 | 226,304,000 |
| Procter & Gamble Co. (The) | 3,365,000 | 390,070,800 |
| Total | 616,374,800 | |
| Tobacco 1.0% | ||
| Philip Morris International, Inc. | 2,780,000 | 203,940,800 |
| Total Consumer Staples | 1,632,980,150 | |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Energy 4.0% | ||
| Oil, Gas & Consumable Fuels 4.0% | ||
| Chevron Corp. | 4,850,000 | 444,745,000 |
| ConocoPhillips Co. | 5,130,000 | 216,383,400 |
| Valero Energy Corp. | 2,425,000 | 161,602,000 |
| Total | 822,730,400 | |
| Total Energy | 822,730,400 | |
| Financials 15.2% | ||
| Banks 6.6% | ||
| Bank of America Corp. | 18,080,000 | 436,089,600 |
| JPMorgan Chase & Co. | 5,365,000 | 522,068,150 |
| PNC Financial Services Group, Inc. (The) | 2,275,000 | 259,441,000 |
| U.S. Bancorp | 4,325,300 | 153,807,668 |
| Total | 1,371,406,418 | |
| Capital Markets 4.0% | ||
| BlackRock, Inc. | 330,000 | 174,451,200 |
| CME Group, Inc. | 1,360,000 | 248,336,000 |
| Northern Trust Corp. | 2,725,000 | 215,302,250 |
| T. Rowe Price Group, Inc. | 1,505,000 | 181,954,500 |
| Total | 820,043,950 | |
| Insurance 4.6% | ||
| Allstate Corp. (The) | 3,240,000 | 316,904,400 |
| Chubb Ltd. | 2,460,000 | 299,972,400 |
| Marsh & McLennan Companies, Inc. | 3,070,000 | 325,174,400 |
| Total | 942,051,200 | |
| Total Financials | 3,133,501,568 | |
| Health Care 14.2% | ||
| Biotechnology 0.6% | ||
| Gilead Sciences, Inc. | 1,500,000 | 116,745,000 |
| Health Care Equipment & Supplies 2.7% | ||
| Abbott Laboratories | 1,285,000 | 121,972,200 |
| Baxter International, Inc. | 1,725,000 | 155,267,250 |
| Medtronic PLC | 2,825,000 | 278,488,500 |
| Total | 555,727,950 | |
| Health Care Providers & Services 1.5% | ||
| UnitedHealth Group, Inc. | 985,000 | 300,277,250 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia Dividend Income Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Pharmaceuticals 9.4% | ||
| Bristol-Myers Squibb Co. | 4,975,000 | 297,107,000 |
| Eli Lilly and Co. | 1,965,000 | 300,546,750 |
| Johnson & Johnson | 5,120,000 | 761,600,000 |
| Merck & Co., Inc. | 7,210,000 | 581,991,200 |
| Total | 1,941,244,950 | |
| Total Health Care | 2,913,995,150 | |
| Industrials 12.7% | ||
| Aerospace & Defense 3.2% | ||
| Lockheed Martin Corp. | 1,390,000 | 539,931,600 |
| Northrop Grumman Corp. | 385,000 | 129,052,000 |
| Total | 668,983,600 | |
| Air Freight & Logistics 0.7% | ||
| United Parcel Service, Inc., Class B | 1,400,000 | 139,594,000 |
| Building Products 1.1% | ||
| Trane Technologies PLC | 2,495,000 | 225,073,950 |
| Commercial Services & Supplies 1.1% | ||
| Waste Management, Inc. | 2,100,000 | 224,175,000 |
| Electrical Equipment 0.7% | ||
| Eaton Corp. PLC | 1,655,000 | 140,509,500 |
| Industrial Conglomerates 1.6% | ||
| Honeywell International, Inc. | 2,345,000 | 342,018,250 |
| Machinery 1.9% | ||
| Cummins, Inc. | 740,000 | 125,504,000 |
| Deere & Co. | 785,000 | 119,414,200 |
| Parker-Hannifin Corp. | 815,000 | 146,675,550 |
| Total | 391,593,750 | |
| Road & Rail 2.4% | ||
| Union Pacific Corp. | 2,870,000 | 487,498,200 |
| Total Industrials | 2,619,446,250 | |
| Information Technology 21.6% | ||
| Communications Equipment 2.8% | ||
| Cisco Systems, Inc. | 11,895,000 | 568,818,900 |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| IT Services 4.5% | ||
| Accenture PLC, Class A | 1,200,000 | 241,944,000 |
| Automatic Data Processing, Inc. | 1,310,000 | 191,901,900 |
| Fidelity National Information Services, Inc. | 810,000 | 112,452,300 |
| International Business Machines Corp. | 3,025,000 | 377,822,500 |
| Total | 924,120,700 | |
| Semiconductors & Semiconductor Equipment 7.9% | ||
| Broadcom, Inc. | 920,000 | 267,968,400 |
| Intel Corp. | 6,645,000 | 418,169,850 |
| KLA Corp. | 1,610,000 | 283,295,600 |
| Lam Research Corp. | 1,105,000 | 302,405,350 |
| Texas Instruments, Inc. | 3,040,000 | 360,969,600 |
| Total | 1,632,808,800 | |
| Software 3.7% | ||
| Microsoft Corp. | 4,200,000 | 769,650,000 |
| Technology Hardware, Storage & Peripherals 2.7% | ||
| Apple, Inc. | 1,730,000 | 550,036,200 |
| Total Information Technology | 4,445,434,600 | |
| Materials 0.9% | ||
| Containers & Packaging 0.9% | ||
| Packaging Corp. of America | 720,000 | 73,015,200 |
| Sonoco Products Co. | 2,000,000 | 103,620,000 |
| Total | 176,635,200 | |
| Total Materials | 176,635,200 | |
| Real Estate 2.9% | ||
| Equity Real Estate Investment Trusts (REITS) 2.9% | ||
| AvalonBay Communities, Inc. | 510,000 | 79,565,100 |
| Crown Castle International Corp. | 845,000 | 145,475,200 |
| Digital Realty Trust, Inc. | 1,790,000 | 256,972,400 |
| Extra Space Storage, Inc. | 1,120,000 | 108,360,000 |
| Total | 590,372,700 | |
| Total Real Estate | 590,372,700 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Dividend Income Fund | Annual Report 2020
|
9 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Utilities 6.5% | ||
| Electric Utilities 3.3% | ||
| American Electric Power Co., Inc. | 1,975,000 | 168,368,750 |
| Eversource Energy | 1,800,000 | 150,660,000 |
| NextEra Energy, Inc. | 730,000 | 186,558,800 |
| Xcel Energy, Inc. | 2,600,000 | 169,078,000 |
| Total | 674,665,550 | |
| Multi-Utilities 3.2% | ||
| Ameren Corp. | 2,020,000 | 150,954,600 |
| CMS Energy Corp. | 2,085,000 | 122,139,300 |
| Dominion Energy, Inc. | 1,315,000 | 111,788,150 |
| DTE Energy Co. | 815,000 | 87,669,550 |
| WEC Energy Group, Inc. | 2,000,000 | 183,460,000 |
| Total | 656,011,600 | |
| Total Utilities | 1,330,677,150 | |
|
Total Common Stocks
(Cost $14,762,611,891) |
19,627,850,918 | |
| Convertible Preferred Stocks 0.4% | |||
| Issuer | Shares | Value ($) | |
| Information Technology 0.4% | |||
| Semiconductors & Semiconductor Equipment 0.4% | |||
| Broadcom, Inc. | 8.000% | 69,000 | 73,189,487 |
| Total Information Technology | 73,189,487 | ||
|
Total Convertible Preferred Stocks
(Cost $70,817,912) |
73,189,487 | ||
| Money Market Funds 3.9% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.308%(a),(b) | 806,376,483 | 806,457,121 |
|
Total Money Market Funds
(Cost $806,492,684) |
806,457,121 | |
|
Total Investments in Securities
(Cost: $15,639,922,487) |
20,507,497,526 | |
| Other Assets & Liabilities, Net | 48,731,796 | |
| Net Assets | 20,556,229,322 | |
Notes to Portfolio of
Investments
| (a) | The rate shown is the seven-day current annualized yield at May 31, 2020. |
| (b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2020 are as follows: |
| Affiliated issuers |
Beginning
of period($) |
Purchases($) | Sales($) |
Net change in
unrealized appreciation (depreciation)($) |
End of
period($) |
Realized gain
(loss)($) |
Dividends($) |
End of
period shares |
| Columbia Short-Term Cash Fund, 0.308% | ||||||||
| 490,246,610 | 4,423,822,448 | (4,107,618,943) | 7,006 | 806,457,121 | 264,975 | 10,945,966 | 806,376,483 | |
Fair value
measurements
The Fund categorizes
its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when
available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that
reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input
that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For
example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active
market.
Fair value inputs are
summarized in the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 10 | Columbia Dividend Income Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
Fair value measurements (continued)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3
category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency
and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant
unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and
estimated cash flows, and comparable company data.
Under the direction of the
Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of
voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly
to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of
Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third
party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale
pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to
discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members
of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of
the inputs used to value the Fund’s investments at May 31, 2020:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Common Stocks | ||||
| Communication Services | 850,802,500 | — | — | 850,802,500 |
| Consumer Discretionary | 1,111,275,250 | — | — | 1,111,275,250 |
| Consumer Staples | 1,632,980,150 | — | — | 1,632,980,150 |
| Energy | 822,730,400 | — | — | 822,730,400 |
| Financials | 3,133,501,568 | — | — | 3,133,501,568 |
| Health Care | 2,913,995,150 | — | — | 2,913,995,150 |
| Industrials | 2,619,446,250 | — | — | 2,619,446,250 |
| Information Technology | 4,445,434,600 | — | — | 4,445,434,600 |
| Materials | 176,635,200 | — | — | 176,635,200 |
| Real Estate | 590,372,700 | — | — | 590,372,700 |
| Utilities | 1,330,677,150 | — | — | 1,330,677,150 |
| Total Common Stocks | 19,627,850,918 | — | — | 19,627,850,918 |
| Convertible Preferred Stocks | ||||
| Information Technology | — | 73,189,487 | — | 73,189,487 |
| Total Convertible Preferred Stocks | — | 73,189,487 | — | 73,189,487 |
| Money Market Funds | 806,457,121 | — | — | 806,457,121 |
| Total Investments in Securities | 20,434,308,039 | 73,189,487 | — | 20,507,497,526 |
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund’s assets assigned to
the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical
assets.
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Dividend Income Fund | Annual Report 2020
|
11 |
Statement of Assets and Liabilities
May 31, 2020
May 31, 2020
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $14,833,429,803) | $19,701,040,405 |
| Affiliated issuers (cost $806,492,684) | 806,457,121 |
| Receivable for: | |
| Capital shares sold | 73,351,235 |
| Dividends | 52,804,837 |
| Prepaid expenses | 9,791 |
| Trustees’ deferred compensation plan | 542,162 |
| Total assets | 20,634,205,551 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 50,878,992 |
| Capital shares purchased | 14,477,577 |
| Management services fees | 8,504,418 |
| Distribution and/or service fees | 1,402,962 |
| Transfer agent fees | 1,869,629 |
| Compensation of chief compliance officer | 1,117 |
| Other expenses | 299,372 |
| Trustees’ deferred compensation plan | 542,162 |
| Total liabilities | 77,976,229 |
| Net assets applicable to outstanding capital stock | $20,556,229,322 |
| Represented by | |
| Paid in capital | 15,925,395,702 |
| Total distributable earnings (loss) | 4,630,833,620 |
| Total - representing net assets applicable to outstanding capital stock | $20,556,229,322 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 12 | Columbia Dividend Income Fund | Annual Report 2020 |
Statement of Assets and Liabilities (continued)
May 31, 2020
May 31, 2020
| Class A | |
| Net assets | $2,689,884,046 |
| Shares outstanding | 121,576,579 |
| Net asset value per share | $22.13 |
| Maximum sales charge | 5.75% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $23.48 |
| Advisor Class | |
| Net assets | $1,640,077,862 |
| Shares outstanding | 72,763,998 |
| Net asset value per share | $22.54 |
| Class C | |
| Net assets | $1,037,412,802 |
| Shares outstanding | 48,519,493 |
| Net asset value per share | $21.38 |
| Institutional Class | |
| Net assets | $9,604,530,104 |
| Shares outstanding | 433,586,233 |
| Net asset value per share | $22.15 |
| Institutional 2 Class | |
| Net assets | $1,385,364,380 |
| Shares outstanding | 61,517,682 |
| Net asset value per share | $22.52 |
| Institutional 3 Class | |
| Net assets | $3,986,971,231 |
| Shares outstanding | 176,776,863 |
| Net asset value per share | $22.55 |
| Class R | |
| Net assets | $137,720,330 |
| Shares outstanding | 6,221,221 |
| Net asset value per share | $22.14 |
| Class V | |
| Net assets | $74,268,567 |
| Shares outstanding | 3,355,077 |
| Net asset value per share | $22.14 |
| Maximum sales charge | 5.75% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class V shares) | $23.49 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Dividend Income Fund | Annual Report 2020
|
13 |
Statement of Operations
Year Ended May 31, 2020
Year Ended May 31, 2020
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $462,157,938 |
| Dividends — affiliated issuers | 10,945,966 |
| Interfund lending | 3,980 |
| Foreign taxes withheld | (700,407) |
| Total income | 472,407,477 |
| Expenses: | |
| Management services fees | 94,042,167 |
| Distribution and/or service fees | |
| Class A | 6,243,052 |
| Class C | 9,789,428 |
| Class R | 648,635 |
| Class V | 196,063 |
| Transfer agent fees | |
| Class A | 3,237,950 |
| Advisor Class | 1,559,176 |
| Class C | 1,269,581 |
| Institutional Class | 10,000,378 |
| Institutional 2 Class | 628,275 |
| Institutional 3 Class | 285,094 |
| Class R | 168,262 |
| Class V | 101,861 |
| Compensation of board members | 223,932 |
| Custodian fees | 100,225 |
| Printing and postage fees | 593,489 |
| Registration fees | 1,033,178 |
| Audit fees | 24,987 |
| Legal fees | 403,251 |
| Compensation of chief compliance officer | 6,355 |
| Other | 367,677 |
| Total expenses | 130,923,016 |
| Expense reduction | (2,566) |
| Total net expenses | 130,920,450 |
| Net investment income | 341,487,027 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (270,985,565) |
| Investments — affiliated issuers | 264,975 |
| Foreign currency translations | (68,179) |
| Net realized loss | (270,788,769) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 732,142,786 |
| Investments — affiliated issuers | 7,006 |
| Net change in unrealized appreciation (depreciation) | 732,149,792 |
| Net realized and unrealized gain | 461,361,023 |
| Net increase in net assets resulting from operations | $802,848,050 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 14 | Columbia Dividend Income Fund | Annual Report 2020 |
Statement of Changes in Net Assets
|
Year Ended
May 31, 2020 |
Year Ended
May 31, 2019 |
|
| Operations | ||
| Net investment income | $341,487,027 | $240,148,160 |
| Net realized gain (loss) | (270,788,769) | 469,223,281 |
| Net change in unrealized appreciation (depreciation) | 732,149,792 | 23,078,734 |
| Net increase in net assets resulting from operations | 802,848,050 | 732,450,175 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (72,310,865) | (127,209,910) |
| Advisor Class | (36,530,363) | (41,941,833) |
| Class C | (21,795,983) | (48,616,175) |
| Institutional Class | (243,532,921) | (348,208,096) |
| Institutional 2 Class | (34,573,013) | (43,267,266) |
| Institutional 3 Class | (112,949,501) | (187,609,387) |
| Class R | (3,459,949) | (6,953,592) |
| Class T | — | (2,788) |
| Class V | (2,283,400) | (5,156,100) |
| Total distributions to shareholders | (527,435,995) | (808,965,147) |
| Increase in net assets from capital stock activity | 6,630,926,334 | 2,357,868,370 |
| Total increase in net assets | 6,906,338,389 | 2,281,353,398 |
| Net assets at beginning of year | 13,649,890,933 | 11,368,537,535 |
| Net assets at end of year | $20,556,229,322 | $13,649,890,933 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia Dividend Income Fund | Annual Report 2020
|
15 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| May 31, 2020 | May 31, 2019 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 47,315,992 | 1,079,082,264 | 30,379,676 | 659,121,814 |
| Distributions reinvested | 2,867,800 | 63,889,934 | 5,480,478 | 114,905,861 |
| Redemptions | (26,251,769) | (585,045,044) | (23,035,731) | (501,940,537) |
| Net increase | 23,932,023 | 557,927,154 | 12,824,423 | 272,087,138 |
| Advisor Class | ||||
| Subscriptions | 50,090,172 | 1,143,153,143 | 19,730,870 | 436,013,694 |
| Distributions reinvested | 1,609,783 | 36,181,485 | 1,929,343 | 41,213,868 |
| Redemptions | (16,245,393) | (364,842,461) | (10,023,362) | (223,621,168) |
| Net increase | 35,454,562 | 814,492,167 | 11,636,851 | 253,606,394 |
| Class C | ||||
| Subscriptions | 17,602,901 | 388,435,957 | 11,296,928 | 235,381,433 |
| Distributions reinvested | 833,773 | 18,297,531 | 2,089,286 | 42,200,955 |
| Redemptions | (11,239,913) | (242,169,261) | (10,697,816) | (224,760,673) |
| Net increase | 7,196,761 | 164,564,227 | 2,688,398 | 52,821,715 |
| Institutional Class | ||||
| Subscriptions | 237,051,969 | 5,315,773,621 | 100,598,322 | 2,171,802,007 |
| Distributions reinvested | 9,352,529 | 207,409,928 | 14,245,109 | 299,352,320 |
| Redemptions | (90,569,183) | (1,993,383,047) | (57,834,951) | (1,255,707,523) |
| Net increase | 155,835,315 | 3,529,800,502 | 57,008,480 | 1,215,446,804 |
| Institutional 2 Class | ||||
| Subscriptions | 39,674,026 | 901,246,401 | 18,549,514 | 410,112,012 |
| Distributions reinvested | 1,500,926 | 33,795,226 | 1,981,510 | 42,350,694 |
| Redemptions | (15,067,105) | (339,917,088) | (12,650,700) | (280,152,629) |
| Net increase | 26,107,847 | 595,124,539 | 7,880,324 | 172,310,077 |
| Institutional 3 Class | ||||
| Subscriptions | 68,865,213 | 1,569,092,884 | 36,133,309 | 800,213,386 |
| Distributions reinvested | 2,450,404 | 55,105,287 | 3,377,726 | 72,238,103 |
| Redemptions | (29,729,444) | (672,877,610) | (21,840,168) | (485,376,733) |
| Net increase | 41,586,173 | 951,320,561 | 17,670,867 | 387,074,756 |
| Class R | ||||
| Subscriptions | 2,231,170 | 50,849,348 | 1,479,258 | 32,367,152 |
| Distributions reinvested | 150,122 | 3,365,101 | 308,022 | 6,453,857 |
| Redemptions | (1,434,181) | (32,178,813) | (1,321,397) | (28,818,942) |
| Net increase | 947,111 | 22,035,636 | 465,883 | 10,002,067 |
| Class T | ||||
| Distributions reinvested | — | — | 124 | 2,603 |
| Redemptions | — | — | (2,263) | (46,121) |
| Net decrease | — | — | (2,139) | (43,518) |
| Class V | ||||
| Subscriptions | 47,255 | 1,073,693 | 45,669 | 973,802 |
| Distributions reinvested | 82,749 | 1,851,868 | 199,104 | 4,176,948 |
| Redemptions | (319,325) | (7,264,013) | (483,685) | (10,587,813) |
| Net decrease | (189,321) | (4,338,452) | (238,912) | (5,437,063) |
| Total net increase | 290,870,471 | 6,630,926,334 | 109,934,175 | 2,357,868,370 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 16 | Columbia Dividend Income Fund | Annual Report 2020 |
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|
Columbia Dividend Income Fund | Annual Report 2020
|
17 |
Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
|
Net asset value,
beginning of period |
Net
investment income |
Net
realized and unrealized gain |
Total from
investment operations |
Distributions
from net investment income |
Distributions
from net realized gains |
Total
distributions to shareholders |
|
| Class A | |||||||
| Year Ended 5/31/2020 | $21.45 | 0.41 | 0.93 | 1.34 | (0.40) | (0.26) | (0.66) |
| Year Ended 5/31/2019 | $21.63 | 0.39 | 0.88 | 1.27 | (0.38) | (1.07) | (1.45) |
| Year Ended 5/31/2018 | $20.46 | 0.36 | 1.75 | 2.11 | (0.34) | (0.60) | (0.94) |
| Year Ended 5/31/2017 | $18.43 | 0.34 | 2.46 | 2.80 | (0.32) | (0.45) | (0.77) |
| Year Ended 5/31/2016 | $19.07 | 0.32 | 0.43 | 0.75 | (0.45) | (0.94) | (1.39) |
| Advisor Class | |||||||
| Year Ended 5/31/2020 | $21.84 | 0.48 | 0.94 | 1.42 | (0.46) | (0.26) | (0.72) |
| Year Ended 5/31/2019 | $22.00 | 0.45 | 0.89 | 1.34 | (0.43) | (1.07) | (1.50) |
| Year Ended 5/31/2018 | $20.80 | 0.42 | 1.78 | 2.20 | (0.40) | (0.60) | (1.00) |
| Year Ended 5/31/2017 | $18.71 | 0.39 | 2.52 | 2.91 | (0.37) | (0.45) | (0.82) |
| Year Ended 5/31/2016 | $19.34 | 0.37 | 0.44 | 0.81 | (0.50) | (0.94) | (1.44) |
| Class C | |||||||
| Year Ended 5/31/2020 | $20.73 | 0.23 | 0.91 | 1.14 | (0.23) | (0.26) | (0.49) |
| Year Ended 5/31/2019 | $20.95 | 0.22 | 0.84 | 1.06 | (0.21) | (1.07) | (1.28) |
| Year Ended 5/31/2018 | $19.84 | 0.19 | 1.70 | 1.89 | (0.18) | (0.60) | (0.78) |
| Year Ended 5/31/2017 | $17.88 | 0.18 | 2.41 | 2.59 | (0.18) | (0.45) | (0.63) |
| Year Ended 5/31/2016 | $18.54 | 0.18 | 0.41 | 0.59 | (0.31) | (0.94) | (1.25) |
| Institutional Class | |||||||
| Year Ended 5/31/2020 | $21.48 | 0.47 | 0.92 | 1.39 | (0.46) | (0.26) | (0.72) |
| Year Ended 5/31/2019 | $21.66 | 0.44 | 0.88 | 1.32 | (0.43) | (1.07) | (1.50) |
| Year Ended 5/31/2018 | $20.48 | 0.41 | 1.77 | 2.18 | (0.40) | (0.60) | (1.00) |
| Year Ended 5/31/2017 | $18.45 | 0.38 | 2.47 | 2.85 | (0.37) | (0.45) | (0.82) |
| Year Ended 5/31/2016 | $19.09 | 0.36 | 0.44 | 0.80 | (0.50) | (0.94) | (1.44) |
| Institutional 2 Class | |||||||
| Year Ended 5/31/2020 | $21.83 | 0.49 | 0.94 | 1.43 | (0.48) | (0.26) | (0.74) |
| Year Ended 5/31/2019 | $21.99 | 0.47 | 0.89 | 1.36 | (0.45) | (1.07) | (1.52) |
| Year Ended 5/31/2018 | $20.78 | 0.44 | 1.79 | 2.23 | (0.42) | (0.60) | (1.02) |
| Year Ended 5/31/2017 | $18.71 | 0.41 | 2.50 | 2.91 | (0.39) | (0.45) | (0.84) |
| Year Ended 5/31/2016 | $19.33 | 0.39 | 0.45 | 0.84 | (0.52) | (0.94) | (1.46) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 18 | Columbia Dividend Income Fund | Annual Report 2020 |
Financial Highlights (continued)
|
Net
asset value, end of period |
Total
return |
Total gross
expense ratio to average net assets(a) |
Total net
expense ratio to average net assets(a),(b) |
Net investment
income ratio to average net assets |
Portfolio
turnover |
Net
assets, end of period (000’s) |
|
| Class A | |||||||
| Year Ended 5/31/2020 | $22.13 | 6.26% | 0.94% | 0.94%(c) | 1.80% | 14% | $2,689,884 |
| Year Ended 5/31/2019 | $21.45 | 6.10% | 0.96% | 0.96%(c) | 1.77% | 13% | $2,094,539 |
| Year Ended 5/31/2018 | $21.63 | 10.35% | 0.97% | 0.97%(c) | 1.66% | 15% | $1,834,772 |
| Year Ended 5/31/2017 | $20.46 | 15.52% | 1.00% | 1.00%(c) | 1.74% | 16% | $1,750,090 |
| Year Ended 5/31/2016 | $18.43 | 4.42% | 1.02% | 1.02%(c) | 1.74% | 25% | $2,380,538 |
| Advisor Class | |||||||
| Year Ended 5/31/2020 | $22.54 | 6.53% | 0.69% | 0.69%(c) | 2.07% | 14% | $1,640,078 |
| Year Ended 5/31/2019 | $21.84 | 6.35% | 0.71% | 0.71%(c) | 2.04% | 13% | $815,017 |
| Year Ended 5/31/2018 | $22.00 | 10.60% | 0.72% | 0.72%(c) | 1.93% | 15% | $564,834 |
| Year Ended 5/31/2017 | $20.80 | 15.89% | 0.75% | 0.75%(c) | 1.99% | 16% | $390,004 |
| Year Ended 5/31/2016 | $18.71 | 4.67% | 0.77% | 0.77%(c) | 2.01% | 25% | $230,893 |
| Class C | |||||||
| Year Ended 5/31/2020 | $21.38 | 5.44% | 1.69% | 1.69%(c) | 1.05% | 14% | $1,037,413 |
| Year Ended 5/31/2019 | $20.73 | 5.29% | 1.71% | 1.71%(c) | 1.02% | 13% | $856,621 |
| Year Ended 5/31/2018 | $20.95 | 9.53% | 1.72% | 1.72%(c) | 0.91% | 15% | $809,269 |
| Year Ended 5/31/2017 | $19.84 | 14.73% | 1.75% | 1.75%(c) | 0.99% | 16% | $764,036 |
| Year Ended 5/31/2016 | $17.88 | 3.62% | 1.78% | 1.78%(c) | 1.00% | 25% | $692,229 |
| Institutional Class | |||||||
| Year Ended 5/31/2020 | $22.15 | 6.50% | 0.69% | 0.69%(c) | 2.06% | 14% | $9,604,530 |
| Year Ended 5/31/2019 | $21.48 | 6.36% | 0.71% | 0.71%(c) | 2.02% | 13% | $5,966,124 |
| Year Ended 5/31/2018 | $21.66 | 10.67% | 0.72% | 0.72%(c) | 1.89% | 15% | $4,781,049 |
| Year Ended 5/31/2017 | $20.48 | 15.79% | 0.75% | 0.75%(c) | 1.98% | 16% | $6,140,961 |
| Year Ended 5/31/2016 | $18.45 | 4.69% | 0.77% | 0.77%(c) | 2.00% | 25% | $4,766,037 |
| Institutional 2 Class | |||||||
| Year Ended 5/31/2020 | $22.52 | 6.57% | 0.62% | 0.62% | 2.13% | 14% | $1,385,364 |
| Year Ended 5/31/2019 | $21.83 | 6.44% | 0.63% | 0.63% | 2.11% | 13% | $772,924 |
| Year Ended 5/31/2018 | $21.99 | 10.76% | 0.63% | 0.63% | 2.00% | 15% | $605,285 |
| Year Ended 5/31/2017 | $20.78 | 15.92% | 0.63% | 0.63% | 2.10% | 16% | $524,608 |
| Year Ended 5/31/2016 | $18.71 | 4.88% | 0.64% | 0.64% | 2.14% | 25% | $416,310 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia Dividend Income Fund | Annual Report 2020
|
19 |
Financial Highlights (continued)
|
Net asset value,
beginning of period |
Net
investment income |
Net
realized and unrealized gain |
Total from
investment operations |
Distributions
from net investment income |
Distributions
from net realized gains |
Total
distributions to shareholders |
|
| Institutional 3 Class | |||||||
| Year Ended 5/31/2020 | $21.86 | 0.50 | 0.94 | 1.44 | (0.49) | (0.26) | (0.75) |
| Year Ended 5/31/2019 | $22.02 | 0.48 | 0.89 | 1.37 | (0.46) | (1.07) | (1.53) |
| Year Ended 5/31/2018 | $20.80 | 0.46 | 1.78 | 2.24 | (0.42) | (0.60) | (1.02) |
| Year Ended 5/31/2017 | $18.72 | 0.43 | 2.50 | 2.93 | (0.40) | (0.45) | (0.85) |
| Year Ended 5/31/2016 | $19.35 | 0.40 | 0.44 | 0.84 | (0.53) | (0.94) | (1.47) |
| Class R | |||||||
| Year Ended 5/31/2020 | $21.46 | 0.35 | 0.94 | 1.29 | (0.35) | (0.26) | (0.61) |
| Year Ended 5/31/2019 | $21.64 | 0.33 | 0.88 | 1.21 | (0.32) | (1.07) | (1.39) |
| Year Ended 5/31/2018 | $20.47 | 0.30 | 1.76 | 2.06 | (0.29) | (0.60) | (0.89) |
| Year Ended 5/31/2017 | $18.43 | 0.29 | 2.47 | 2.76 | (0.27) | (0.45) | (0.72) |
| Year Ended 5/31/2016 | $19.07 | 0.27 | 0.43 | 0.70 | (0.40) | (0.94) | (1.34) |
| Class V | |||||||
| Year Ended 5/31/2020 | $21.46 | 0.41 | 0.93 | 1.34 | (0.40) | (0.26) | (0.66) |
| Year Ended 5/31/2019 | $21.64 | 0.39 | 0.88 | 1.27 | (0.38) | (1.07) | (1.45) |
| Year Ended 5/31/2018 | $20.47 | 0.36 | 1.75 | 2.11 | (0.34) | (0.60) | (0.94) |
| Year Ended 5/31/2017 | $18.43 | 0.33 | 2.48 | 2.81 | (0.32) | (0.45) | (0.77) |
| Year Ended 5/31/2016 | $19.07 | 0.32 | 0.43 | 0.75 | (0.45) | (0.94) | (1.39) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | The benefits derived from expense reductions had an impact of less than 0.01%. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 20 | Columbia Dividend Income Fund | Annual Report 2020 |
Financial Highlights (continued)
|
Net
asset value, end of period |
Total
return |
Total gross
expense ratio to average net assets(a) |
Total net
expense ratio to average net assets(a),(b) |
Net investment
income ratio to average net assets |
Portfolio
turnover |
Net
assets, end of period (000’s) |
|
| Institutional 3 Class | |||||||
| Year Ended 5/31/2020 | $22.55 | 6.62% | 0.57% | 0.57% | 2.17% | 14% | $3,986,971 |
| Year Ended 5/31/2019 | $21.86 | 6.48% | 0.58% | 0.58% | 2.15% | 13% | $2,955,434 |
| Year Ended 5/31/2018 | $22.02 | 10.84% | 0.59% | 0.59% | 2.08% | 15% | $2,587,372 |
| Year Ended 5/31/2017 | $20.80 | 16.03% | 0.59% | 0.59% | 2.17% | 16% | $610,882 |
| Year Ended 5/31/2016 | $18.72 | 4.87% | 0.59% | 0.59% | 2.19% | 25% | $228,089 |
| Class R | |||||||
| Year Ended 5/31/2020 | $22.14 | 5.97% | 1.19% | 1.19%(c) | 1.54% | 14% | $137,720 |
| Year Ended 5/31/2019 | $21.46 | 5.83% | 1.21% | 1.21%(c) | 1.52% | 13% | $113,166 |
| Year Ended 5/31/2018 | $21.64 | 10.07% | 1.22% | 1.22%(c) | 1.41% | 15% | $104,036 |
| Year Ended 5/31/2017 | $20.47 | 15.29% | 1.25% | 1.25%(c) | 1.49% | 16% | $99,305 |
| Year Ended 5/31/2016 | $18.43 | 4.15% | 1.27% | 1.27%(c) | 1.49% | 25% | $85,066 |
| Class V | |||||||
| Year Ended 5/31/2020 | $22.14 | 6.26% | 0.94% | 0.94%(c) | 1.78% | 14% | $74,269 |
| Year Ended 5/31/2019 | $21.46 | 6.10% | 0.96% | 0.96%(c) | 1.76% | 13% | $76,067 |
| Year Ended 5/31/2018 | $21.64 | 10.35% | 0.97% | 0.97%(c) | 1.66% | 15% | $81,875 |
| Year Ended 5/31/2017 | $20.47 | 15.58% | 1.00% | 1.00%(c) | 1.74% | 16% | $78,342 |
| Year Ended 5/31/2016 | $18.43 | 4.42% | 1.02% | 1.02%(c) | 1.74% | 25% | $75,218 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Dividend Income Fund | Annual Report 2020
|
21 |
Notes to Financial Statements
May 31, 2020
May 31, 2020
Note 1. Organization
Columbia Dividend Income Fund
(the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2
Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus. Class V shares are available only to investors who received (and who continuously held) Class V shares in connection with previous fund reorganizations.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are
valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean
of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges
outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but
before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third-party
pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary
receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market
conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
| 22 | Columbia Dividend Income Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Investments in open-end investment
companies (other than ETFs), are valued at the latest net asset value reported by those companies as of the valuation time.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published
price for the security, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend
income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Awards from class action litigation
are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as
realized gains.
|
Columbia Dividend Income Fund | Annual Report 2020
|
23 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid each calendar quarter. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with
federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.72% to 0.52% as the Fund’s net assets increase. The effective management services fee rate for the year ended May 31, 2020 was 0.55% of the Fund’s average
daily net assets.
| 24 | Columbia Dividend Income Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. These members of the Board of Trustees
may participate in a Deferred Compensation Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable
under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as
sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the year ended May 31, 2020,
the Fund’s effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Class A | 0.13 |
| Advisor Class | 0.13 |
| Class C | 0.13 |
| Institutional Class | 0.13 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
| Class R | 0.13 |
| Class V | 0.13 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the year ended May 31, 2020, these minimum account balance fees reduced total expenses of
the Fund by $2,566.
|
Columbia Dividend Income Fund | Annual Report 2020
|
25 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.10%, 0.75% and 0.50% of the average daily net assets attributable to Class A, Class C and Class R shares of the Fund,
respectively.
Although the Fund may pay
distribution and service fees up to a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for
shareholder liaison services), the Fund currently limits such fees to an aggregate fee of not more than 0.25% of the Fund’s average daily net assets attributable to Class A shares.
Shareholder services fees
The Fund has adopted a shareholder
services plan that permits it to pay for certain services provided to Class V shareholders by their selling and/or servicing agents. The Fund may pay shareholder servicing fees up to an aggregate annual rate of 0.50%
of the Fund’s average daily net assets attributable to Class V shares (comprised of up to 0.25% for shareholder liaison services and up to 0.25% for administrative support services). These fees are currently
limited to an aggregate annual rate of not more than 0.25% of the Fund’s average daily net assets attributable to Class V shares.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended May 31, 2020, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 5.75 | 0.50 - 1.00(a) | 6,609,475 |
| Class C | — | 1.00(b) | 137,086 |
| Class V | 5.75 | 0.50 - 1.00(a) | 2,034 |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
| 26 | Columbia Dividend Income Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from
the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or
its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At May 31, 2020, these differences
were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, post-October capital losses, re-characterization of distributions for investments,
distribution reclassifications, and foreign currency transactions. To the extent these differences were permanent, reclassifications were made among the components of the Fund’s net assets. Temporary differences
do not require reclassifications.
The following reclassifications
were made:
|
Undistributed net
investment income ($) |
Accumulated
net realized (loss) ($) |
Paid in
capital ($) |
| (2,398,525) | 2,398,525 | — |
Net investment income (loss) and
net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
|
Columbia Dividend Income Fund | Annual Report 2020
|
27 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
The tax character of distributions
paid during the years indicated was as follows:
| Year Ended May 31, 2020 | Year Ended May 31, 2019 | ||||
|
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
| 327,136,601 | 200,299,394 | 527,435,995 | 231,206,126 | 577,759,021 | 808,965,147 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2020, the components of
distributable earnings on a tax basis were as follows:
|
Undistributed
ordinary income ($) |
Undistributed
long-term capital gains ($) |
Capital loss
carryforwards ($) |
Net unrealized
appreciation ($) |
| 58,898,243 | — | — | 4,864,204,886 |
At May 31, 2020, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
|
Federal
tax cost ($) |
Gross unrealized
appreciation ($) |
Gross unrealized
(depreciation) ($) |
Net unrealized
appreciation ($) |
| 15,643,292,640 | 5,298,575,441 | (434,370,555) | 4,864,204,886 |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
As of May 31, 2020, the Fund will elect to treat the following late-year ordinary losses and post-October capital losses as arising on June 1, 2020.
|
Late year
ordinary losses ($) |
Post-October
capital losses ($) |
| — | 291,727,347 |
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $8,485,974,814 and $2,342,561,391, respectively, for the year ended May 31, 2020. The amount of purchase and
sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
| 28 | Columbia Dividend Income Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the year ended May 31, 2020 was as follows:
| Borrower or lender |
Average loan
balance ($) |
Weighted average
interest rate (%) |
Number of days
with outstanding loans |
| Lender | 6,481,818 | 2.31 | 11 |
Interest income earned by the Fund
is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at May 31, 2020.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and
not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the
one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a
commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement
expires annually in December unless extended or renewed.
The Fund had no borrowings during
the year ended May 31, 2020.
Note 9. Significant
risks
Information technology sector
risk
The Fund may be more susceptible to
the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sectors are
subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected
by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for
market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their
securities may fall or fail to rise. In addition, many information technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than
other securities, especially over the short term.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the
|
Columbia Dividend Income Fund | Annual Report 2020
|
29 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Fund, including causing difficulty in assigning
prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events
in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global
supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and
epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The coronavirus disease 2019
(COVID-19) public health crisis has become a pandemic that has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access,
resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions,
workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken
by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness
outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness
outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may
exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a
timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of its employees and to assure the continuity of its
business operations, the Investment Manager and its affiliates have implemented a work from home protocol for virtually all of its employee population, restricted business travel, and provided resources for complying
with the guidance from the World Health Organization, the U.S. Centers for Disease Control and governments. The Investment Manager’s operations teams seek to operate without significant disruptions in service.
Its pandemic strategy takes into consideration that a pandemic could be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. The Fund cannot,
however, predict the impact that natural or man-made disasters, including the COVID-19 pandemic, may have on the ability of the Investment Manager, its employees and third-party service providers to continue ordinary
business operations and technology functions over near- or longer-term periods.
Shareholder concentration risk
At May 31, 2020, two unaffiliated
shareholders of record owned 32.3% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated shareholders of
record owned 13.1% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case
of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid
positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
| 30 | Columbia Dividend Income Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in
connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject
of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with
the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to
Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
|
Columbia Dividend Income Fund | Annual Report 2020
|
31 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia Dividend Income Fund
Opinion on the Financial
Statements
We have audited the accompanying
statement of assets and liabilities, including the portfolio of investments, of Columbia Dividend Income Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as of
May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and
the financial highlights for each of the five years in the period ended May 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in
all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31,
2020 and the financial highlights for each of the five years in the period ended May 31, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the
responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these
financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material
misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not
received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 23, 2020
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 32 | Columbia Dividend Income Fund | Annual Report 2020 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended May 31, 2020. Shareholders will be notified in early 2021 of the amounts for use in preparing 2020 income tax returns.
|
Qualified
dividend income |
Dividends
received deduction |
Capital
gain dividend |
| 100.00% | 100.00% | $24,244,204 |
Qualified dividend income. For
taxable, non-corporate shareholders, the percentage of ordinary income distributed during the fiscal year that represents qualified dividend income subject to reduced tax rates.
Dividends received deduction. The
percentage of ordinary income distributed during the fiscal year that qualifies for the corporate dividends received deduction.
Capital gain dividend. The Fund
designates as a capital gain dividend the amount reflected above, or if subsequently determined to be different, the net capital gain of such fiscal period.
TRUSTEES AND
OFFICERS
The Board oversees the Fund’s
operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the Fund’s Trustees as
of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth beneath Length of Service
in the table below is the year in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board policy, members serve
terms of indefinite duration.
Independent trustees
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
|
Janet Langford Carrig
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 |
Trustee
1996 |
Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 67 | Director, EQT Corporation (natural gas producer) |
|
Douglas A. Hacker
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 |
Trustee and Chairman of the Board
1996 |
Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 67 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
|
Columbia Dividend Income Fund | Annual Report 2020
|
33 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
|
Nancy T. Lukitsh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 |
Trustee
2011 |
Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 67 | None |
|
David M. Moffett
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Trustee
2011 |
Retired. Consultant to Bridgewater and Associates | 67 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
|
John J. Neuhauser
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 |
Trustee
1984 |
President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 67 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
|
Patrick J. Simpson
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 |
Trustee
2000 |
Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 67 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
| 34 | Columbia Dividend Income Fund | Annual Report 2020 |
TRUSTEES AND OFFICERS (continued)
Consultants to the Independent Trustees*
Consultants to the Independent Trustees*
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
|
J. Kevin Connaughton
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 |
Independent Trustee Consultant
2016 |
Independent Trustee Consultant, Columbia Funds since March 2016; Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 67 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
|
Olive Darragh
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 |
Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 67 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
|
Natalie A. Trunow
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 |
Independent Trustee Consultant
2016 |
Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management, Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 67 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
| * | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. |
|
Columbia Dividend Income Fund | Annual Report 2020
|
35 |
TRUSTEES AND OFFICERS (continued)
Interested trustee affiliated with Investment Manager*
Interested trustee affiliated with Investment Manager*
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
|
William F. Truscott
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 |
Trustee
2012 |
Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle | 164 | Trustee, Columbia Funds since November 2001 |
| * | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
The Board has appointed officers
who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the
Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice
President, the Fund’s other officers are:
Fund officers
|
Name,
address and year of birth |
Position and year
first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof |
Principal occupation(s) during past five years |
|
Christopher O. Petersen
5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 |
President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
|
Michael G. Clarke
225 Franklin Street Boston, MA 02110 Born 1969 |
Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
|
Joseph Beranek
5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 |
Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
|
Paul B. Goucher
100 Park Avenue New York, NY 10017 Born 1968 |
Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
| 36 | Columbia Dividend Income Fund | Annual Report 2020 |
TRUSTEES AND OFFICERS (continued)
Fund officers (continued)
Fund officers (continued)
|
Name,
address and year of birth |
Position and year
first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof |
Principal occupation(s) during past five years |
|
Thomas P. McGuire
225 Franklin Street Boston, MA 02110 Born 1972 |
Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
|
Colin Moore
225 Franklin Street Boston, MA 02110 Born 1958 |
Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
|
Ryan C. Larrenaga
225 Franklin Street Boston, MA 02110 Born 1970 |
Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
|
Daniel J. Beckman
225 Franklin Street Boston, MA 02110 Born 1962 |
Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
|
Michael E. DeFao
225 Franklin Street Boston, MA 02110 Born 1968 |
Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
|
Lyn Kephart-Strong
5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 |
Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
Liquidity Risk
Management Program
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018,
through December 31, 2019, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
|
Columbia Dividend Income Fund | Annual Report 2020
|
37 |
Liquidity Risk Management Program (continued)
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
| 38 | Columbia Dividend Income Fund | Annual Report 2020 |
[THIS PAGE INTENTIONALLY LEFT
BLANK]
Columbia Dividend Income Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN139_05_K01_(07/20)
Annual Report
May 31, 2020
May 31, 2020
Columbia High Yield
Municipal Fund
Beginning on January 1, 2021, as
permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you
specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified
by mail and provided with a website address to access the report.
If you have already elected to
receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically
at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging
into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future
reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you
invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia
Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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Columbia High Yield Municipal Fund
(the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please call
shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT
filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling
800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors,
Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia High Yield Municipal
Fund | Annual Report 2020
Fund at a Glance
Investment objective
The Fund
seeks total return, consisting of current income exempt from federal income tax and capital appreciation.
Portfolio management
Douglas White, CFA
Lead Portfolio Manager
Managed Fund since 2018
Catherine Stienstra
Portfolio Manager
Managed Fund since 2016
Returns for Class A shares are shown
with and without the maximum initial sales charge of 3.00%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share
classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and
fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee
waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial
intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
The Blended Benchmark, established
by the Investment Manager, consists of a 60% weighting of the Bloomberg Barclays High Yield Municipal Bond Index and a 40% weighting of the Bloomberg Barclays Municipal Bond Index.
The Bloomberg Barclays Municipal
Bond Index is considered representative of the broad market for investment-grade, tax-exempt bonds with a maturity of at least one year.
The Bloomberg Barclays High Yield
Municipal Bond Index is comprised of bonds with maturities greater than one-year, having a par value of at least $3 million issued as part of a transaction size greater than $20 million, and rated no higher than
“BB+” or equivalent by any of the three principal rating agencies.
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Fund performance may be significantly
negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in
unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
3 |
Fund at a Glance (continued)
Performance of a hypothetical $10,000 investment (May 31, 2010 — May 31, 2020)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia High Yield Municipal Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund
distributions or on the redemption of Fund shares.
| Quality breakdown (%) (at May 31, 2020) | |
| AAA rating | 1.3 |
| AA rating | 10.8 |
| A rating | 16.4 |
| BBB rating | 26.5 |
| BB rating | 9.0 |
| B rating | 2.3 |
| CCC rating | 0.2 |
| D rating | 0.4 |
| Not rated | 33.1 |
| Total | 100.0 |
Percentages indicated are based
upon total fixed income investments.
Bond ratings apply to the underlying
holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the
highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not
rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily.
The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other
issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such
security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
|
Top Ten States/Territories (%)
(at May 31, 2020) |
|
| Illinois | 10.4 |
| Florida | 8.5 |
| California | 7.1 |
| Texas | 6.4 |
| New Jersey | 5.3 |
| Washington | 4.8 |
| Ohio | 4.7 |
| Colorado | 4.5 |
| Pennsylvania | 4.5 |
| Michigan | 4.1 |
Percentages indicated are based
upon total investments excluding Money Market Funds and investments in derivatives, if any.
For further detail about these
holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date
given, are subject to change at any time, and are not recommendations to buy or sell any security.
| 4 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Manager Discussion of Fund Performance
For the 12-month period that
ended May 31, 2020, Class A shares of the Fund returned -3.41% excluding sales charges. During the same 12-month period, the Fund’s Blended Benchmark gained 0.24%, and the Bloomberg Barclays High Yield Municipal
Bond Index returned -2.32%.
COVID-19 fueled high volatility
in the tax-exempt market
Although high-yield municipal
bonds posted a negative 12-month return, the asset class benefited from a relatively benign environment for the first three quarters of the reporting period. During this time, the U.S. economy continued its expansion,
municipal yields marched toward new lows (as prices increased), and high-yield municipals extended their run of outperformance relative to investment-grade municipal bonds.
These favorable conditions quickly
deteriorated in March of 2020 once the COVID-19 pandemic hit the United States. Municipal bonds experienced several record down days in mid-March 2020 as investors withdrew cash from municipal funds amid concerns
about the virus’ potential financial impact on state and local governments. High-yield municipal bonds were hit particularly hard as their yield spread versus investment-grade debt, which had narrowed steadily
over the past four years, rose sharply. (Rising yield spreads indicate underperformance.) Investor worries about the prospects of many bonds backed by economically sensitive revenues, such as sales taxes, hotels and
air travel, further contributed to the withdrawals from high-yield municipal funds. Funds raised cash to meet these redemptions, causing high-yield bond prices to fall substantially more than those of investment-grade
securities.
In late March 2020, the downturn in
high-yield municipal bonds appeared to have ended and prices rallied with several days of record price gains. Investors seemed to have been encouraged by the U.S. Federal Reserve’s (Fed) decision to cut interest
rates to zero and initiate a number of liquidity programs aimed at propping up financial assets. Congress also provided fiscal support with a stimulus package amounting to over $2 trillion. After pausing in April
2020, the market’s advance resumed in May as the Fed clarified potential support for municipal issuers and cash began to flow back into the market.
Despite this remarkable recovery,
high-yield municipal bonds lagged investment-grade municipal bonds by a wide margin due to their underperformance in March 2020. For the full period, the -2.32% return for Bloomberg Barclays High Yield Municipal Bond
Index was more than six percentage points behind the 3.98% gain for the investment-grade Bloomberg Barclays Municipal Bond Index.
Contributors and detractors
An overweight position in
continuing care retirement communities, together with security selection in the sector, detracted from performance amid concerns about the vulnerability of the elderly to COVID-19. We remained comfortable with both
the Fund’s allocation to the sector and the individual issues held in the portfolio at end of May 2020, but we sold some of the Fund’s positions in issuers that we believed had weaker fundamentals.
Holdings in bonds with maturities of 25 years or longer also hurt relative results, as did selection in BBB and non-rated issues. Underweights in bonds rated AA and AAA, which outperformed as investors gravitated to
higher quality assets, was an additional detractor. An underweight in special-tax bonds, together with selection in the special-tax and general obligation sectors, further weighed on Fund returns.
On the positive side, the Fund
benefited from an underweight position and favorable security selection in hospitals, as well as an underweight in the industrial development revenue/pollution control revenue sector. Selection in 17- to 25-year
maturities and charter schools also contributed to Fund returns. An overweighting in A rated issues, together with underweights in BB and non-rated debt, was a further plus.
A cautious but opportunistic
approach
Coming into the period, the
portfolio was focused on longer maturities due to the benign inflation environment and the positive slope to the municipal yield curve. This positioning reflected our belief that the incremental income on longer dated
issues could augment returns over time. In addition, given the record length of the economic expansion and the apparent overvaluation of lower rated securities, we maintained an average credit quality above that of
the Blended Benchmark.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
5 |
Manager Discussion of Fund Performance (continued)
As the economic effects of COVID-19
became evident, we reduced positions in vulnerable sectors such as airlines, airports, and other corporate-backed issues, as well as in health care, hotels, and bonds backed by sales taxes. We also selectively reduced
allocations to the senior care, charter school and local general obligation sectors, based on our negative outlook for specific holdings in these areas. We redeployed the proceeds into what we viewed as higher quality
hospitals, the essential transportation sector, and higher yielding tobacco issues.
We also rotated some of the
proceeds into cash to be reinvested as higher yield spreads created what we believed to be opportunities. New York City’s Metropolitan Transportation Authority (MTA), the largest transit authority in the United
States, is an example. Prior to the pandemic, the MTA’s longer maturity bonds typically traded approximately 40 basis points (0.4 percentage points) above the average yield on AAA rated municipal issues. As
ridership plummeted through March and April 2020 due to COVID-19 and the ensuing economic shutdown across New York City, yields on the MTA’s outstanding bonds rose. As a result, a new issue by MTA in mid-May
2020 yielded nearly 330 basis points above the Blended Benchmark. Believing the MTA to be an essential service, we saw this as an opportunity to capture the higher yield.
We believed spreads on higher
yielding municipals were still attractive by historical terms at the close of the period, despite their rally from late March 2020 onward. While we sought to capitalize on specific opportunities such as the MTA bonds,
we remained cautious and selective due to continued uncertainty regarding the length and depth of the pandemic-induced recession. The Fund therefore maintained an above-average credit quality at the close of the
period.
After the longest economic
expansion on record, many states and municipalities entered the crisis in healthy financial positions via budget surpluses, ample rainy-day funds and reasonable budgetary flexibility. Valuations generally remained
attractive relative to the long-term averages, but we believe the potential for further credit stress could lead to renewed volatility. As would be expected in such a large and diverse market, there are many issuers
who we believe are well-positioned to weather the crisis and others whose challenges could be severe. In this environment, we remained focused on fundamental analysis and careful security selection to identify both
risks and potential opportunities.
Fixed-income securities present
issuer default risk. The Fund invests substantially in municipal securities and will be affected by tax, legislative, regulatory, demographic or political changes, as well as changes impacting a state’s financial, economic or other
conditions. A relatively small number of tax-exempt issuers may necessitate the Fund investing more heavily in a single issuer and, therefore, be more exposed to the risk of loss than a fund that invests more broadly.
Prepayment and extension risk exists because the timing of payments on a loan, bond or other investment may accelerate when interest rates fall or decelerate when interest rates rise
which may reduce investment opportunities and potential returns. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and NAV. Falling rates may result in the Fund investing
in lower yielding debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. Non-investment-grade (high-yield or junk) securities present greater price volatility and more risk to principal and income than higher rated securities. Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Federal and state tax rules apply to capital gain distributions and any gains or losses on sales. Income may be subject to state, local or alternative minimum taxes. Market or other (e.g., interest
rate) environments may adversely affect the liquidity of Fund investments, negatively impacting their price. Generally, the less liquid the market at the time the Fund sells a holding, the greater the risk of loss or decline of
value to the Fund. See the Fund’s prospectus for more information on these and other risks.
The views expressed in this report
reflect the current views of the respective parties who have contributed to the report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult
to predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties
disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an
indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
| 6 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Understanding Your Fund’s
Expenses
(Unaudited)
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 366.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment
Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
7 |
Portfolio of Investments
May 31, 2020
May 31, 2020
(Percentages represent value of
investments compared to net assets)
Investments in securities
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 8 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
9 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
11 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 12 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
13 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 14 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
15 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 16 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
17 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 18 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
19 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Money Market Funds 5.0% | ||
| Shares | Value ($) | |
| Dreyfus AMT-Free Tax Exempt Cash Management Fund, Institutional Shares, 0.023%(l) | 205,323 | 205,303 |
| JPMorgan Institutional Tax Free Money Market Fund, Institutional Shares, 0.103%(l) | 35,375,889 | 35,375,889 |
|
Total Money Market Funds
(Cost $35,581,212) |
35,581,192 | |
|
Total Investments in Securities
(Cost $738,922,279) |
716,359,575 | |
| Other Assets & Liabilities, Net | (4,180,391) | |
| Net Assets | $712,179,184 | |
Notes to Portfolio of
Investments
| (a) | Valuation based on significant unobservable inputs. |
| (b) | The Fund is entitled to receive principal and interest from the guarantor after a day or a week’s notice or upon maturity. The maturity date disclosed represents the final maturity. |
| (c) | Represents a variable rate security where the coupon rate adjusts on specified dates (generally daily or weekly) using the prevailing money market rate. The interest rate shown was the current rate as of May 31, 2020. |
| (d) | Income from this security may be subject to alternative minimum tax. |
| (e) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2020, the total value of these securities amounted to $77,390,114, which represents 10.87% of total net assets. |
| (f) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At May 31, 2020, the total value of these securities amounted to $8,304,226, which represents 1.17% of total net assets. |
| (g) | Zero coupon bond. |
| (h) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of May 31, 2020. |
| (i) | Municipal obligations include debt obligations issued by or on behalf of territories, possessions, or sovereign nations within the territorial boundaries of the United States. At May 31, 2020, the total value of these securities amounted to $10,904,110, which represents 1.53% of total net assets. |
| (j) | Represents a security purchased on a when-issued basis. |
| (k) | The Fund entered into transactions in which it transfers to trusts fixed rate municipal bonds in exchange for cash and residual interests in the trusts, which are in the form of inverse floating rate securities. The trusts fund the purchases of the municipal bonds by issuing short-term floating rate notes to third parties. The municipal bonds transferred to the trusts remain in the Fund’s Portfolio of Investments. |
| (l) | The rate shown is the seven-day current annualized yield at May 31, 2020. |
Abbreviation Legend
| AGM | Assured Guaranty Municipal Corporation |
| AMBAC | Ambac Assurance Corporation |
| BAM | Build America Mutual Assurance Co. |
| BAN | Bond Anticipation Note |
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| HUD | Department of Housing and Urban Development |
| NPFGC | National Public Finance Guarantee Corporation |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
21 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is
deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example,
certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in
the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining
fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary
between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered
by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include
periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels
within the hierarchy.
Investments falling into the Level 3
category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency
and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant
unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and
estimated cash flows, and comparable company data.
Under the direction of the
Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of
voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly
to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of
Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third
party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale
pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to
discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members
of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of
the inputs used to value the Fund’s investments at May 31, 2020:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Corporate Bonds & Notes | — | — | 164,711 | 164,711 |
| Floating Rate Notes | — | 325,000 | — | 325,000 |
| Municipal Bonds | — | 671,159,219 | — | 671,159,219 |
| Municipal Bonds Held in Trust | — | 9,129,453 | — | 9,129,453 |
| Money Market Funds | 35,581,192 | — | — | 35,581,192 |
| Total Investments in Securities | 35,581,192 | 680,613,672 | 164,711 | 716,359,575 |
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The Fund’s assets assigned to
the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical
assets.
The Fund does not hold any
significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 22 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Statement of Assets and Liabilities
May 31, 2020
May 31, 2020
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $738,922,279) | $716,359,575 |
| Cash | 40,601 |
| Receivable for: | |
| Investments sold | 324,353 |
| Capital shares sold | 1,900,699 |
| Interest | 10,716,108 |
| Expense reimbursement due from Investment Manager | 403 |
| Prepaid expenses | 539 |
| Trustees’ deferred compensation plan | 125,535 |
| Total assets | 729,467,813 |
| Liabilities | |
| Short-term floating rate notes outstanding | 6,240,000 |
| Payable for: | |
| Investments purchased | 358,062 |
| Investments purchased on a delayed delivery basis | 5,373,330 |
| Capital shares purchased | 2,193,799 |
| Distributions to shareholders | 2,541,425 |
| Management services fees | 306,978 |
| Distribution and/or service fees | 55,923 |
| Transfer agent fees | 63,799 |
| Compensation of chief compliance officer | 49 |
| Other expenses | 29,729 |
| Trustees’ deferred compensation plan | 125,535 |
| Total liabilities | 17,288,629 |
| Net assets applicable to outstanding capital stock | $712,179,184 |
| Represented by | |
| Paid in capital | 747,661,116 |
| Total distributable earnings (loss) | (35,481,932) |
| Total - representing net assets applicable to outstanding capital stock | $712,179,184 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
23 |
Statement of Assets and Liabilities (continued)
May 31, 2020
May 31, 2020
| Class A | |
| Net assets | $164,387,868 |
| Shares outstanding | 16,510,028 |
| Net asset value per share | $9.96 |
| Maximum sales charge | 3.00% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $10.27 |
| Advisor Class | |
| Net assets | $5,548,636 |
| Shares outstanding | 556,693 |
| Net asset value per share | $9.97 |
| Class C | |
| Net assets | $42,577,924 |
| Shares outstanding | 4,276,280 |
| Net asset value per share | $9.96 |
| Institutional Class | |
| Net assets | $481,793,241 |
| Shares outstanding | 48,380,520 |
| Net asset value per share | $9.96 |
| Institutional 2 Class | |
| Net assets | $15,701,606 |
| Shares outstanding | 1,578,021 |
| Net asset value per share | $9.95 |
| Institutional 3 Class | |
| Net assets | $2,169,909 |
| Shares outstanding | 217,399 |
| Net asset value per share | $9.98 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 24 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Statement of Operations
Year Ended May 31, 2020
Year Ended May 31, 2020
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $344,985 |
| Interest | 38,148,585 |
| Total income | 38,493,570 |
| Expenses: | |
| Management services fees | 4,277,480 |
| Distribution and/or service fees | |
| Class A | 364,408 |
| Class C | 473,436 |
| Transfer agent fees | |
| Class A | 180,613 |
| Advisor Class | 5,195 |
| Class C | 49,406 |
| Institutional Class | 534,733 |
| Institutional 2 Class | 9,622 |
| Institutional 3 Class | 249 |
| Compensation of board members | 22,755 |
| Custodian fees | 7,896 |
| Printing and postage fees | 33,278 |
| Registration fees | 95,938 |
| Audit fees | 34,600 |
| Legal fees | 20,089 |
| Interest on inverse floater program | 74,393 |
| Interest on interfund lending | 28 |
| Compensation of chief compliance officer | 297 |
| Other | 27,841 |
| Total expenses | 6,212,257 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (103,476) |
| Fees waived by distributor | |
| Class C | (49,761) |
| Expense reduction | (400) |
| Total net expenses | 6,058,620 |
| Net investment income | 32,434,950 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (530,953) |
| Futures contracts | (427,085) |
| Net realized loss | (958,038) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (59,567,770) |
| Net change in unrealized appreciation (depreciation) | (59,567,770) |
| Net realized and unrealized loss | (60,525,808) |
| Net decrease in net assets resulting from operations | $(28,090,858) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
25 |
Statement of Changes in Net Assets
|
Year Ended
May 31, 2020 |
Year Ended
May 31, 2019 |
|
| Operations | ||
| Net investment income | $32,434,950 | $32,343,985 |
| Net realized loss | (958,038) | (1,898,043) |
| Net change in unrealized appreciation (depreciation) | (59,567,770) | 18,304,119 |
| Net increase (decrease) in net assets resulting from operations | (28,090,858) | 48,750,061 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (7,431,118) | (6,843,361) |
| Advisor Class | (224,558) | (205,699) |
| Class C | (1,703,982) | (1,845,717) |
| Institutional Class | (23,064,873) | (25,914,897) |
| Institutional 2 Class | (703,071) | (439,319) |
| Institutional 3 Class | (91,772) | (76,896) |
| Total distributions to shareholders | (33,219,374) | (35,325,889) |
| Increase (decrease) in net assets from capital stock activity | (17,349,716) | 18,064,373 |
| Total increase (decrease) in net assets | (78,659,948) | 31,488,545 |
| Net assets at beginning of year | 790,839,132 | 759,350,587 |
| Net assets at end of year | $712,179,184 | $790,839,132 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 26 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| May 31, 2020 | May 31, 2019 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 4,743,875 | 50,636,888 | 7,249,670 | 75,986,450 |
| Distributions reinvested | 623,120 | 6,613,618 | 593,520 | 6,218,270 |
| Redemptions | (4,925,507) | (51,080,067) | (4,354,244) | (45,497,374) |
| Net increase | 441,488 | 6,170,439 | 3,488,946 | 36,707,346 |
| Advisor Class | ||||
| Subscriptions | 369,414 | 3,871,871 | 247,707 | 2,602,285 |
| Distributions reinvested | 21,162 | 224,150 | 19,485 | 204,463 |
| Redemptions | (328,256) | (3,480,602) | (222,415) | (2,323,405) |
| Net increase | 62,320 | 615,419 | 44,777 | 483,343 |
| Class C | ||||
| Subscriptions | 1,021,502 | 10,981,493 | 1,227,929 | 12,842,907 |
| Distributions reinvested | 147,796 | 1,569,311 | 162,803 | 1,705,538 |
| Redemptions | (1,659,630) | (17,394,883) | (1,314,980) | (13,749,183) |
| Net increase (decrease) | (490,332) | (4,844,079) | 75,752 | 799,262 |
| Institutional Class | ||||
| Subscriptions | 11,219,402 | 117,355,858 | 12,103,114 | 126,466,716 |
| Distributions reinvested | 1,048,863 | 11,137,008 | 1,057,898 | 11,086,422 |
| Redemptions | (14,959,873) | (154,813,924) | (15,406,410) | (160,734,738) |
| Net decrease | (2,691,608) | (26,321,058) | (2,245,398) | (23,181,600) |
| Institutional 2 Class | ||||
| Subscriptions | 2,423,889 | 25,545,461 | 569,528 | 5,946,759 |
| Distributions reinvested | 66,367 | 702,661 | 41,840 | 438,556 |
| Redemptions | (1,924,203) | (19,631,308) | (335,438) | (3,499,108) |
| Net increase | 566,053 | 6,616,814 | 275,930 | 2,886,207 |
| Institutional 3 Class | ||||
| Subscriptions | 70,416 | 749,015 | 109,467 | 1,150,525 |
| Distributions reinvested | 8,554 | 90,787 | 7,272 | 76,387 |
| Redemptions | (41,073) | (427,053) | (82,100) | (857,097) |
| Net increase | 37,897 | 412,749 | 34,639 | 369,815 |
| Total net increase (decrease) | (2,074,182) | (17,349,716) | 1,674,646 | 18,064,373 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
27 |
Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
|
Net asset value,
beginning of period |
Net
investment income |
Net
realized and unrealized gain (loss) |
Total from
investment operations |
Distributions
from net investment income |
Total
distributions to shareholders |
|
| Class A | ||||||
| Year Ended 5/31/2020 | $10.74 | 0.42 | (0.77) | (0.35) | (0.43) | (0.43) |
| Year Ended 5/31/2019 | $10.56 | 0.43 | 0.23 | 0.66 | (0.48) | (0.48) |
| Year Ended 5/31/2018 | $10.64 | 0.43 | (0.05) | 0.38 | (0.46) | (0.46) |
| Year Ended 5/31/2017 | $10.90 | 0.45 | (0.26) | 0.19 | (0.45) | (0.45) |
| Year Ended 5/31/2016 | $10.71 | 0.47 | 0.19 | 0.66 | (0.47) | (0.47) |
| Advisor Class | ||||||
| Year Ended 5/31/2020 | $10.76 | 0.44 | (0.78) | (0.34) | (0.45) | (0.45) |
| Year Ended 5/31/2019 | $10.57 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
| Year Ended 5/31/2018 | $10.65 | 0.45 | (0.05) | 0.40 | (0.48) | (0.48) |
| Year Ended 5/31/2017 | $10.92 | 0.47 | (0.27) | 0.20 | (0.47) | (0.47) |
| Year Ended 5/31/2016 | $10.72 | 0.49 | 0.20 | 0.69 | (0.49) | (0.49) |
| Class C | ||||||
| Year Ended 5/31/2020 | $10.74 | 0.35 | (0.77) | (0.42) | (0.36) | (0.36) |
| Year Ended 5/31/2019 | $10.56 | 0.37 | 0.22 | 0.59 | (0.41) | (0.41) |
| Year Ended 5/31/2018 | $10.64 | 0.36 | (0.05) | 0.31 | (0.39) | (0.39) |
| Year Ended 5/31/2017 | $10.90 | 0.38 | (0.26) | 0.12 | (0.38) | (0.38) |
| Year Ended 5/31/2016 | $10.71 | 0.40 | 0.19 | 0.59 | (0.40) | (0.40) |
| Institutional Class | ||||||
| Year Ended 5/31/2020 | $10.75 | 0.44 | (0.78) | (0.34) | (0.45) | (0.45) |
| Year Ended 5/31/2019 | $10.56 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
| Year Ended 5/31/2018 | $10.64 | 0.45 | (0.05) | 0.40 | (0.48) | (0.48) |
| Year Ended 5/31/2017 | $10.90 | 0.47 | (0.26) | 0.21 | (0.47) | (0.47) |
| Year Ended 5/31/2016 | $10.71 | 0.49 | 0.19 | 0.68 | (0.49) | (0.49) |
| Institutional 2 Class | ||||||
| Year Ended 5/31/2020 | $10.74 | 0.44 | (0.77) | (0.33) | (0.46) | (0.46) |
| Year Ended 5/31/2019 | $10.55 | 0.46 | 0.23 | 0.69 | (0.50) | (0.50) |
| Year Ended 5/31/2018 | $10.63 | 0.45 | (0.04) | 0.41 | (0.49) | (0.49) |
| Year Ended 5/31/2017 | $10.90 | 0.48 | (0.27) | 0.21 | (0.48) | (0.48) |
| Year Ended 5/31/2016 | $10.70 | 0.50 | 0.20 | 0.70 | (0.50) | (0.50) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 28 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Financial Highlights (continued)
|
Net
asset value, end of period |
Total
return |
Total gross
expense ratio to average net assets(a) |
Total net
expense ratio to average net assets(a),(b) |
Net investment
income ratio to average net assets |
Portfolio
turnover |
Net
assets, end of period (000’s) |
|
| Class A | |||||||
| Year Ended 5/31/2020 | $9.96 | (3.41%) | 0.88%(c),(d) | 0.87%(c),(d),(e) | 3.98% | 46% | $164,388 |
| Year Ended 5/31/2019 | $10.74 | 6.42% | 0.88% | 0.85%(e) | 4.16% | 35% | $172,655 |
| Year Ended 5/31/2018 | $10.56 | 3.68% | 0.88% | 0.85%(e) | 4.04% | 16% | $132,807 |
| Year Ended 5/31/2017 | $10.64 | 1.81% | 0.90%(f) | 0.84%(e),(f) | 4.21% | 21% | $130,917 |
| Year Ended 5/31/2016 | $10.90 | 6.27% | 0.95% | 0.86%(e) | 4.33% | 10% | $190,262 |
| Advisor Class | |||||||
| Year Ended 5/31/2020 | $9.97 | (3.30%) | 0.68%(c),(d) | 0.67%(c),(d),(e) | 4.17% | 46% | $5,549 |
| Year Ended 5/31/2019 | $10.76 | 6.73% | 0.68% | 0.65%(e) | 4.35% | 35% | $5,318 |
| Year Ended 5/31/2018 | $10.57 | 3.89% | 0.68% | 0.65%(e) | 4.24% | 16% | $4,752 |
| Year Ended 5/31/2017 | $10.65 | 1.92% | 0.71%(f) | 0.64%(e),(f) | 4.41% | 21% | $3,753 |
| Year Ended 5/31/2016 | $10.92 | 6.58% | 0.75% | 0.66%(e) | 4.52% | 10% | $4,607 |
| Class C | |||||||
| Year Ended 5/31/2020 | $9.96 | (4.04%) | 1.63%(c),(d) | 1.52%(c),(d),(e) | 3.34% | 46% | $42,578 |
| Year Ended 5/31/2019 | $10.74 | 5.73% | 1.63% | 1.50%(e) | 3.50% | 35% | $51,214 |
| Year Ended 5/31/2018 | $10.56 | 3.01% | 1.63% | 1.50%(e) | 3.39% | 16% | $49,519 |
| Year Ended 5/31/2017 | $10.64 | 1.15% | 1.65%(f) | 1.48%(e),(f) | 3.58% | 21% | $51,775 |
| Year Ended 5/31/2016 | $10.90 | 5.58% | 1.70% | 1.51%(e) | 3.67% | 10% | $60,144 |
| Institutional Class | |||||||
| Year Ended 5/31/2020 | $9.96 | (3.31%) | 0.68%(c),(d) | 0.67%(c),(d),(e) | 4.19% | 46% | $481,793 |
| Year Ended 5/31/2019 | $10.75 | 6.73% | 0.68% | 0.65%(e) | 4.35% | 35% | $548,850 |
| Year Ended 5/31/2018 | $10.56 | 3.88% | 0.68% | 0.65%(e) | 4.24% | 16% | $562,972 |
| Year Ended 5/31/2017 | $10.64 | 2.01% | 0.70%(f) | 0.64%(e),(f) | 4.43% | 21% | $604,031 |
| Year Ended 5/31/2016 | $10.90 | 6.48% | 0.75% | 0.66%(e) | 4.55% | 10% | $672,655 |
| Institutional 2 Class | |||||||
| Year Ended 5/31/2020 | $9.95 | (3.28%) | 0.64%(c),(d) | 0.63%(c),(d) | 4.13% | 46% | $15,702 |
| Year Ended 5/31/2019 | $10.74 | 6.78% | 0.63% | 0.60% | 4.40% | 35% | $10,868 |
| Year Ended 5/31/2018 | $10.55 | 3.92% | 0.63% | 0.59% | 4.30% | 16% | $7,767 |
| Year Ended 5/31/2017 | $10.63 | 2.00% | 0.61%(f) | 0.56%(f) | 4.48% | 21% | $5,469 |
| Year Ended 5/31/2016 | $10.90 | 6.67% | 0.62% | 0.57% | 4.62% | 10% | $7,922 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
29 |
Financial Highlights (continued)
|
Net asset value,
beginning of period |
Net
investment income |
Net
realized and unrealized gain (loss) |
Total from
investment operations |
Distributions
from net investment income |
Total
distributions to shareholders |
|
| Institutional 3 Class | ||||||
| Year Ended 5/31/2020 | $10.77 | 0.45 | (0.78) | (0.33) | (0.46) | (0.46) |
| Year Ended 5/31/2019 | $10.58 | 0.47 | 0.23 | 0.70 | (0.51) | (0.51) |
| Year Ended 5/31/2018 | $10.66 | 0.46 | (0.04) | 0.42 | (0.50) | (0.50) |
| Year Ended 5/31/2017(g) | $10.48 | 0.12 | 0.18(h) | 0.30 | (0.12) | (0.12) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | Ratios include interest and fee expense related to the participation in certain inverse floater programs. If interest and fee expense related to the participation in certain inverse floater programs had been excluded, expenses would have been lower by 0.01%. Due to an equal increase in interest income from fixed rate municipal bonds held in trust, there is no impact on the Fund’s net assets, net asset value per share, total return or net investment income. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
| (e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (f) | Expenses have been reduced due to a reimbursement of expenses overbilled by a third party. If the reimbursement had been excluded, the expense ratios would have been higher by the percentages shown for each class in the table below. All fee waivers and expense reimbursements by the Investment Manager and its affiliates were applied before giving effect to this third party reimbursement. |
| Year Ended | Class A |
Advisor
Class |
Class C |
Institutional
Class |
Institutional 2
Class |
| 05/31/2017 | 0.02% | 0.02% | 0.03% | 0.02% | 0.02% |
| (g) | Institutional 3 Class shares commenced operations on March 1, 2017. Per share data and total return reflect activity from that date. |
| (h) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
| (i) | Annualized. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 30 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Financial Highlights (continued)
|
Net
asset value, end of period |
Total
return |
Total gross
expense ratio to average net assets(a) |
Total net
expense ratio to average net assets(a),(b) |
Net investment
income ratio to average net assets |
Portfolio
turnover |
Net
assets, end of period (000’s) |
|
| Institutional 3 Class | |||||||
| Year Ended 5/31/2020 | $9.98 | (3.21%) | 0.59%(c),(d) | 0.58%(c),(d) | 4.26% | 46% | $2,170 |
| Year Ended 5/31/2019 | $10.77 | 6.83% | 0.59% | 0.56% | 4.45% | 35% | $1,933 |
| Year Ended 5/31/2018 | $10.58 | 3.99% | 0.59% | 0.55% | 4.41% | 16% | $1,533 |
| Year Ended 5/31/2017(g) | $10.66 | 2.86% | 0.61%(i) | 0.53%(i) | 4.62%(i) | 21% | $10 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
31 |
Notes to Financial Statements
May 31, 2020
May 31, 2020
Note 1. Organization
Columbia High Yield Municipal
Fund (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2 Class
and Institutional 3 Class shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also described in the
Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Debt securities generally are
valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take
into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for
which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or
less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Investments in open-end investment
companies (other than ETFs), are valued at the latest net asset value reported by those companies as of the valuation time.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published
price for the security, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
| 32 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities,
currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets),
for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks,
such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms
of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund
to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin
that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time
there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers
(including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among
other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty
certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment
in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or
prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by
netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount
of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully
collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
33 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
paid by the Fund is shown on the Statement of
Operations. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial
stability of those counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights
if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether
termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve
exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears
risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in
the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to
varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended May 31, 2020:
| 34 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended May 31, 2020:
| Derivative instrument |
Average notional
amounts ($)* |
| Futures contracts — short | 1,971,544 |
| * | Based on the ending daily outstanding amounts for the year ended May 31, 2020. |
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
Inverse floater program
The Fund may enter into
transactions in which it transfers to trusts fixed rate municipal bonds in exchange for cash and residual interests in the trusts’ assets and cash flows, which are in the form of inverse floating rate
securities. The trusts fund the purchases of the municipal bonds by issuing short-term floating rate notes to third parties. The residual interests held by the Fund (inverse floating rate securities) include the right
of the Fund (i) to cause the holders of the short-term floating rate notes to tender their notes at par, and (ii) to transfer the municipal bonds from the trusts to the Fund, thereby collapsing the trusts. The
municipal bonds transferred to the trusts, if any, remain in the Fund’s investments in securities and the related short-term floating rate notes are reflected as Fund liabilities under the caption
“Short-term floating rate notes outstanding” in the Statement of Assets and Liabilities. The liability approximates the fair market value of the short-term notes. The notes issued by the trusts have
interest rates that are multi-modal, which means that they can be reset to a new or different mode at the reset date (e.g., mode can be daily, weekly, monthly, or a fixed specific date) at the discretion of the holder
of the inverse floating rate security. The floating rate note holders have the option to tender their notes to the trusts for redemption at par at each reset date. The income received by the inverse floating rate
security holder varies inversely with the short-term rate paid to the floating rate note holders, and in most circumstances the inverse floating rate security holder bears substantially all of the underlying
bond’s downside investment risk and also benefits disproportionately from any potential appreciation of the underlying bond’s value. The inverse floating rate security holder will be subject to greater
interest rate risk than if they were to hold the underlying bond because the interest rate is dependent on both the fixed coupon rate of the underlying bond and the short-term interest rate paid on the floating rate
notes. The inverse floating rate security holder is also subject to the credit risk, liquidity risk and market risk associated with the underlying bond. The bonds held by the trusts serve as collateral for the
short-term floating rate notes outstanding. Contractual maturities and interest rates of the municipal bonds held in trusts, if any, at May 31, 2020 are presented in the Portfolio of Investments. Interest and fee
expense related to the short-term floating rate notes, which is accrued daily, is presented in the Statement of Operations and corresponds to an equal increase in interest income from the fixed rate municipal bonds
held in trust. For the year ended May 31, 2020, the average value of short-term floating rate notes outstanding was $6,240,000 and the average interest rate and fees related to these short-term floating rate notes
were 1.20% and 0.49%, respectively.
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security
is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
35 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Dividend income is recorded on the
ex-dividend date.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its net tax-exempt and investment company taxable income and net capital
gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net
income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to shareholders
Distributions from net investment
income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the
Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the
Fund’s daily net assets that declines from 0.54% to 0.34% as the Fund’s net assets increase. The effective management services fee rate for the year ended May 31, 2020 was 0.54% of the Fund’s average
daily net assets.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. These members of the Board of Trustees
may participate in a Deferred Compensation Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable
under the Deferred Plan constitute a general unsecured obligation of the Fund.
| 36 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as
sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the year ended May 31, 2020,
the Fund’s effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Class A | 0.10 |
| Advisor Class | 0.10 |
| Class C | 0.10 |
| Institutional Class | 0.10 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the year ended May 31, 2020, these minimum account balance fees reduced total expenses of
the Fund by $400.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.20% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a monthly
distribution fee to the Distributor at the maximum annual rate of 0.75% of the average daily net assets attributable to Class C shares of the Fund.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
37 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
The Distributor has voluntarily
agreed to waive a portion of the distribution fee for Class C shares so that the distribution fee does not exceed 0.65% annually of the average daily net assets attributable to Class C shares. This arrangement may be
modified or terminated by the Distributor at any time.
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended May 31, 2020, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 3.00 | 0.75(a) | 209,988 |
| Class C | — | 1.00(b) | 14,440 |
| (a) | This charge is imposed on certain investments of $500,000 or more if redeemed within 12 months after purchase. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s
custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and
brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed
money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from
the Investment Manager, certain of its affiliates and the Fund. In addition to the contractual agreement, the Investment Manager and certain of its affiliates have voluntarily agreed to waive fees and/or reimburse
Fund expenses (excluding certain fees and expenses described above) so that Fund level expenses (expenses directly attributable to the Fund and not to a specific share class) are waived proportionately across all
share classes, but the Fund’s net operating expenses shall not exceed the contractual annual rates listed in the table above. This arrangement may be revised or discontinued at any time. Any fees waived and/or
expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods. Class C distribution fees waived by the Distributor,
as discussed above, are in addition to the waiver/reimbursement commitment under the agreement.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
| 38 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
At May 31, 2020, these differences
were primarily due to differing treatment for trustees’ deferred compensation, tax straddles, distributions, capital loss carryforward, principal and/or interest of fixed income securities, and investments in
partnerships. To the extent these differences were permanent, reclassifications were made among the components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications
were made:
|
Undistributed net
investment income ($) |
Accumulated
net realized (loss) ($) |
Paid in
capital ($) |
| 71,652 | (71,652) | — |
Net investment income (loss) and
net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions
paid during the years indicated was as follows:
| Year Ended May 31, 2020 | Year Ended May 31, 2019 | ||||||
|
Ordinary
income ($) |
Tax-exempt
income ($) |
Long-term
capital gains ($) |
Total ($) |
Ordinary
income ($) |
Tax-exempt
income ($) |
Long-term
capital gains ($) |
Total ($) |
| 622,469 | 32,596,905 | — | 33,219,374 | 378,912 | 34,946,977 | — | 35,325,889 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2020, the components of
distributable earnings on a tax basis were as follows:
|
Undistributed
ordinary income ($) |
Undistributed tax-
exempt income ($) |
Undistributed
long-term capital gains ($) |
Capital loss
carryforwards ($) |
Net unrealized
(depreciation) ($) |
| — | 7,037,246 | — | (14,719,125) | (25,133,093) |
At May 31, 2020, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
|
Federal
tax cost ($) |
Gross unrealized
appreciation ($) |
Gross unrealized
(depreciation) ($) |
Net unrealized
(depreciation) ($) |
| 741,492,668 | 25,294,692 | (50,427,785) | (25,133,093) |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at May 31, 2020, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. In addition, for the year ended May 31,
2020, capital loss carryforwards utilized, if any, were as follows:
|
No expiration
short-term ($) |
No expiration
long-term ($) |
Total ($) | Utilized ($) |
| (2,414,723) | (12,304,402) | (14,719,125) | — |
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
39 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $362,235,114 and $398,152,215, respectively, for the year ended May 31, 2020. The amount of purchase and sale
activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the
Interfund Program during the year ended May 31, 2020 was as follows:
| Borrower or lender |
Average loan
balance ($) |
Weighted average
interest rate (%) |
Number of days
with outstanding loans |
| Borrower | 1,500,000 | 0.67 | 1 |
Interest expense incurred by the
Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at May 31, 2020.
Note 7. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and
not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the
one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a
commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement
expires annually in December unless extended or renewed.
The Fund had no borrowings during
the year ended May 31, 2020.
Note 8. Significant
risks
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
High-yield investments risk
Securities and other debt
instruments held by the Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of
principal and income than a fund that invests solely or primarily in investment grade debt instruments. In addition, these investments
| 40 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
have greater price fluctuations, are less liquid
and are more likely to experience a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest
and repay principal.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise.
Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative
impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates. The Fund is subject
to the risk that the income generated by its investments may not keep pace with inflation.
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The coronavirus disease 2019
(COVID-19) public health crisis has become a pandemic that has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access,
resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions,
workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken
by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness
outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness
outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may
exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a
timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
41 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of its employees and to assure the continuity of its
business operations, the Investment Manager and its affiliates have implemented a work from home protocol for virtually all of its employee population, restricted business travel, and provided resources for complying
with the guidance from the World Health Organization, the U.S. Centers for Disease Control and governments. The Investment Manager’s operations teams seek to operate without significant disruptions in service.
Its pandemic strategy takes into consideration that a pandemic could be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. The Fund cannot,
however, predict the impact that natural or man-made disasters, including the COVID-19 pandemic, may have on the ability of the Investment Manager, its employees and third-party service providers to continue ordinary
business operations and technology functions over near- or longer-term periods.
Municipal securities risk
Securities issued by a particular
state and its instrumentalities are subject to the risk of unfavorable developments in such state. A municipal security can be significantly affected by adverse tax, legislative, regulatory, demographic or political
changes as well as changes in a particular state’s (state and its instrumentalities’) financial, economic or other condition and prospects.
Shareholder concentration risk
At May 31, 2020, two unaffiliated
shareholders of record owned 44.9% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated shareholders of
record owned 15.3% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case
of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid
positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 9. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 10. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in
connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject
of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with
the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to
Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 42 | Columbia High Yield Municipal Fund | Annual Report 2020 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia High Yield Municipal Fund
Opinion on the Financial
Statements
We have audited the accompanying
statement of assets and liabilities, including the portfolio of investments, of Columbia High Yield Municipal Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund") as
of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and
the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material
respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the
financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the
responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these
financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material
misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from
brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 23, 2020
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
43 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended May 31, 2020. Shareholders will be notified in early 2021 of the amounts for use in preparing 2020 income tax returns.
|
Exempt-
interest dividends |
|
| 98.13% |
Exempt-interest dividends. The
percentage of net investment income distributed during the fiscal year that qualifies as exempt-interest dividends for federal income tax purposes. A portion of the income may be subject to federal alternative minimum
tax.
TRUSTEES AND
OFFICERS
The Board oversees the Fund’s
operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the Fund’s Trustees as
of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth beneath Length of Service
in the table below is the year in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board policy, members serve
terms of indefinite duration.
Independent trustees
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
|
Janet Langford Carrig
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 |
Trustee
1996 |
Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 67 | Director, EQT Corporation (natural gas producer) |
|
Douglas A. Hacker
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 |
Trustee and Chairman of the Board
1996 |
Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 67 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
|
Nancy T. Lukitsh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 |
Trustee
2011 |
Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 67 | None |
| 44 | Columbia High Yield Municipal Fund | Annual Report 2020 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
|
David M. Moffett
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Trustee
2011 |
Retired. Consultant to Bridgewater and Associates | 67 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
|
John J. Neuhauser
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 |
Trustee
1984 |
President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 67 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
|
Patrick J. Simpson
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 |
Trustee
2000 |
Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 67 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Consultants to the Independent
Trustees*
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
|
J. Kevin Connaughton
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 |
Independent Trustee Consultant
2016 |
Independent Trustee Consultant, Columbia Funds since March 2016; Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 67 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
45 |
TRUSTEES AND OFFICERS (continued)
Consultants to the Independent Trustees* (continued)
Consultants to the Independent Trustees* (continued)
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
|
Olive Darragh
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 |
Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 67 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
|
Natalie A. Trunow
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 |
Independent Trustee Consultant
2016 |
Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management, Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 67 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
| * | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. |
Interested trustee affiliated with
Investment Manager*
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
|
William F. Truscott
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 |
Trustee
2012 |
Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle | 164 | Trustee, Columbia Funds since November 2001 |
| * | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
| 46 | Columbia High Yield Municipal Fund | Annual Report 2020 |
TRUSTEES AND OFFICERS (continued)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Fund officers
|
Name,
address and year of birth |
Position and year
first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof |
Principal occupation(s) during past five years |
|
Christopher O. Petersen
5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 |
President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
|
Michael G. Clarke
225 Franklin Street Boston, MA 02110 Born 1969 |
Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
|
Joseph Beranek
5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 |
Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
|
Paul B. Goucher
100 Park Avenue New York, NY 10017 Born 1968 |
Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
|
Thomas P. McGuire
225 Franklin Street Boston, MA 02110 Born 1972 |
Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
|
Colin Moore
225 Franklin Street Boston, MA 02110 Born 1958 |
Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
|
Ryan C. Larrenaga
225 Franklin Street Boston, MA 02110 Born 1970 |
Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
|
Daniel J. Beckman
225 Franklin Street Boston, MA 02110 Born 1962 |
Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
|
Michael E. DeFao
225 Franklin Street Boston, MA 02110 Born 1968 |
Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
|
Lyn Kephart-Strong
5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 |
Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
|
Columbia High Yield Municipal Fund | Annual Report 2020
|
47 |
Liquidity Risk
Management Program
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018,
through December 31, 2019, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
| 48 | Columbia High Yield Municipal Fund | Annual Report 2020 |
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Columbia High Yield Municipal Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN161_05_K01_(07/20)
Annual Report
May 31, 2020
May 31, 2020
Columbia Adaptive
Risk Allocation Fund
Beginning on January 1, 2021, as
permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you
specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified
by mail and provided with a website address to access the report.
If you have already elected to
receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically
at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging
into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future
reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you
invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia
Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No
Financial Institution Guarantee • May Lose Value
Table of Contents
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Columbia Adaptive Risk Allocation
Fund (the Fund) mails one shareholder report to each shareholder address, unless such shareholder elected to receive shareholder reports from the Fund electronically. If you would like more than one report, please
call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and
procedures
The policy of the Board of Trustees
is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by
calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding
how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting
columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of
investments
The Fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q or Form N-PORT (available for filings after March 31, 2019). The Fund’s Form N-Q or Form N-PORT is available on
the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the
Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
You may obtain the current net
asset value (NAV) of Fund shares at no cost by calling 800.345.6611 or by sending an e-mail to serviceinquiries@columbiathreadneedle.com.
Fund investment manager
Columbia Management Investment Advisers, LLC (the
Investment Manager)
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors,
Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Adaptive Risk Allocation
Fund | Annual Report 2020
Fund at a Glance
Investment objective
The Fund
pursues consistent total returns by seeking to allocate risks across multiple asset classes.
Portfolio management
Joshua Kutin, CFA
Lead Portfolio Manager
Managed Fund since 2015
Alexander Wilkinson, CFA, CAIA
Portfolio Manager
Managed Fund since 2018
Returns for Class A shares are shown
with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share
classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and
fees associated with each share class. All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the
redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee
waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown
represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, maybe worth more or less than their
original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary,
visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Since the Fund launched more than one share class at its inception, Class A shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information. |
The Modified Blended Benchmark
consists of 60% MSCI ACWI (Net) and 40% Bloomberg Barclays Global Aggregate Bond Index.
The New Blended Benchmark consists
of 60% MSCI ACWI (Net) Hedged to DM Currencies and 40% Bloomberg Barclays Global Aggregate Bond Hedged Index.
The Bloomberg Barclays Global
Aggregate Bond Index is a broad-based benchmark that measures the global investment-grade fixed-rate debt markets.
The Bloomberg Barclays Global
Aggregate Bond Hedged Index is an unmanaged index that is comprised of several other Bloomberg Barclays indexes that measure fixed income performance of regions around the world while hedging the currency back to the
US dollar.
The MSCI ACWI (Net) is a free
float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and emerging markets. The MSCI ACWI (Net) captures large and mid cap representation across 23
developed markets and 26 emerging markets countries.
The MSCI ACWI (Net) Hedged to DM
Currencies Index represents a close estimation of the performance that can be achieved by hedging the currency exposures of all developed market exposures of its parent index, the MSCI ACWI, to the USD, the
“home” currency for the hedged index. The index is 100% hedged to the USD of developed market currencies by selling each foreign currency forward at the one-month Forward weight. The parent index is
composed of large and mid cap stocks across 23 Developed Markets (DM) countries and 24 Emerging Markets (EM) countries.
The FTSE Three-Month U.S. Treasury
Bill Index is an unmanaged index that represents the performance of three-month Treasury bills and reflects reinvestment of all distributions and changes in market prices.
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Columbia Adaptive Risk Allocation Fund | Annual Report 2020
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3 |
Fund at a Glance (continued)
Indices are not available for
investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI ACWI (Net) and MSCI ACWI (Net) Hedged to DM Currencies, which reflect reinvested
dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
Fund performance may be significantly
negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in
unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.
Performance of a
hypothetical $10,000 investment (June 19, 2012 — May 31, 2020)
The chart above shows the change in
value of a hypothetical $10,000 investment in Class A shares of Columbia Adaptive Risk Allocation Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund
distributions or on the redemption of Fund shares.
| 4 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Fund at a Glance (continued)
| Portfolio breakdown (%) (at May 31, 2020) | |
| Alternative Strategies Funds | 4.5 |
| Common Stocks | 6.1 |
| Foreign Government Obligations | 13.1 |
| Inflation-Indexed Bonds | 13.6 |
| Money Market Funds(a) | 34.4 |
| Residential Mortgage-Backed Securities - Agency | 8.7 |
| U.S. Treasury Obligations | 19.6 |
| Total | 100.0 |
| (a) | Includes investments in Money Market Funds (amounting to $1,221.4 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives which provide exposure to multiple markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and Note 2 to the Notes to Financial Statements. |
Percentages indicated are based upon
total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Market exposure by asset class categories (%)(a) (at May 31, 2020) | |
| Equity Assets | 36.6 |
| Inflation-Hedging Assets | 20.2 |
| Spread Assets | 49.1 |
| Interest Rate Assets | 57.1 |
(a) Percentages are based upon net
assets. The percentages do not equal 100% due to the effects of leverage within the Fund’s portfolio. Leverage exists when the Fund purchases or sells an instrument or enters into a transaction without investing
cash in an amount equal to the full economic exposure of the instrument or transaction. The Fund’s portfolio composition and its market exposure are subject to change. Inflation-Hedging Assets may include, but
are not limited to, direct or indirect investments in commodity-related investments, including certain types of commodities-linked derivatives and notes, and U.S. and non-U.S. inflation-linked bonds. Interest Rate
Assets generally include fixed-income securities issued by U.S. and non-U.S. governments. Spread Assets generally include any other fixed-income securities.
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Columbia Adaptive Risk Allocation Fund | Annual Report 2020
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5 |
Manager Discussion of Fund Performance
For the 12-month period that
ended May 31, 2020, the Fund’s Class A shares returned 5.41% excluding sales charges. While posting solid absolute gains, the Fund underperformed its Modified Blended Benchmark, which returned 5.99% for the same
time period. The Fund also underperformed its New Blended Benchmark, which returned 7.12% for the time period. To compare, the FTSE Three-Month U.S. Treasury Bill Index returned 1.75% during the annual period. The
Fund takes a risk-based approach to allocating assets across four primary segments of global capital markets.
During the annual period, the MSCI
ACWI (Net) and the Bloomberg Barclays Global Aggregate Bond Index returned 5.43% and 5.59%, respectively, during the annual period. The MSCI ACWI Index (Net) Hedged to DM Currencies returned 6.34%, and the Bloomberg
Barclays Global Aggregate Bond Hedged Index returned 7.02%.
Market state policy
implementation drove results
The Fund uses a global risk
allocation strategy and takes a flexible approach to allocating portfolio risk across multiple asset classes — equity securities, inflation-hedging assets, and fixed-income securities (generally consisting of
fixed-income securities issued by governments, which are referred to as interest rate assets, and other fixed-income securities, which are referred to as spread assets). The Fund employs a market state classification
process, based on multiple market-based indicators, to identify four distinct market environments and creates a policy or benchmark portfolio with a strategic risk allocation for each environment that is intended to
generate attractive risk-adjusted returns in that environment. Allocations of risk to asset classes may differ significantly across market environments. While a global risk-balanced portfolio is what we expect the
Fund to be in most often, other market states represent conditions when risk balancing may be less than ideal, and the portfolio can deviate from balance to improve risk-adjusted return potential for that environment.
This could be to protect capital in a weakening market or to more fully participate when market conditions are considered favorable. Once a policy portfolio is established, the Fund then employs a tactical overlay
process driven by the Columbia Global Asset Allocation Team’s Investment Strategy Outlook. During the annual period ended May 31, 2020, changes to the Fund’s risk allocation using this market state
classification process contributed positively to performance relative to maintaining a static neutral state and compared to its Modified Blended Benchmark. However, the Fund underperformed the Modified Blended
Benchmark due to diversifying the portfolio with out-of-benchmark positions that underperformed this Modified Blended Benchmark during these months.
The Fund’s absolute returns
were positive during the annual period, though our tactical positioning overall was a modest detractor from the Fund’s relative performance during the annual period. Of the broad global asset classes to which
the Fund allocates, its exposure to global government fixed-income securities and global equities contributed most positively, as the asset classes overall posted positive absolute returns. Additionally, the
Fund’s allocations to spread assets, primarily investment-grade corporate bonds, high-yield bonds, mortgage-backed securities and emerging markets debt, boosted relative results. Conversely, exposure to
commodities detracted most, as commodities sold off sharply amid severe supply and demand headwinds in the first several months of 2020.
Market state positioning
reflected changing market conditions
The Fund uses an adaptive
approach to re-allocate portfolio risk exposures as market conditions change in an effort to improve risk-adjusted returns. We believe no single portfolio is appropriate for all market environments and have identified
four distinct market states: highly bullish, bullish, neutral and capital preservation. We expect the Fund to be in the neutral market state the majority of the time. The Fund made several deviations from the neutral
market state during the annual period, moving into the bullish market state in August 2019 and into the highly bullish market state in October 2019, December 2019 and January 2020 when market-based indicators became
more positive. The Fund subsequently shifted into the capital preservation market state in March 2020 and maintained that market state through May 2020. From a risk allocation perspective, the Fund in the neutral
state allocates approximately 50% of the portfolio’s risk allocation in equities, with the remaining 50% of the portfolio’s risk allocation divided among the other asset classes. In the months when the
Fund was in a bullish or highly bullish market state, the Fund increased its risk exposure to equities and decreased exposure to interest rates. In the months when the Fund was in a capital preservation state, the
Fund decreased risk exposure to equities and increased exposure to interest rates. With these changes, the Fund’s portfolio turnover rate for the 12-month period was 314%.
| 6 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Manager Discussion of Fund Performance (continued)
Many asset classes posted positive
absolute returns and demonstrated relative calm during the first eight months of the annual period ended May 31, 2020, as waning recession fears, forecasts for improving global economic growth, a “Phase
One” trade deal with China, and an accommodative U.S. Federal Reserve (Fed) helped bolster investor sentiment. U.S. equities achieved record highs in February 2020. Then, fears of the rippling effects of the
global COVID-19 pandemic on the economy, on corporate earnings and more began to roil the markets in late February 2020. The sell-off within the U.S. equity markets was swift, with the S&P 500 Index recording its
fastest 30% decline in history, taking only 22 trading days from the record high it had reached on February 19, 2020. Exacerbating matters was the plunging of the price of oil to its lowest level since 2002, as the
world’s largest oil producers failed to agree on whether to reduce supply as demand collapsed. In response, most central banks and governments took extraordinary measures in an effort to limit financial market
stress, mitigate the economic fallout and cushion household and business income. The U.S. Federal Reserve cut interest rates to near zero, committed to buy an unlimited amount of U.S. Treasury and agency
mortgage-backed securities and increased the scope of its asset purchase program. On the fiscal front, the U.S. government enacted a more than $2 trillion relief bill, unleashing a massive stimulus plan to stem
economic damage.
Following the steep drop, the S&
P 500 Index surged to its best weekly gain in 11 years at the end of March 2020 on the unprecedented fiscal and monetary emergency stimulus. In April 2020, U.S. equities then enjoyed their largest monthly gain since
January 1987 amid the policy momentum, improved credit market functioning, signs U.S. COVID-19 infections had plateaued and indications some states would soon begin to ease lockdown measures. The U.S. equity market
rebound continued in May 2020 on the gradual re-opening of the U.S. to a new normal, even as macroeconomic data indicated measures to stem the spread of COVID-19, including quarantined consumers and business closures,
took a severe toll on the U.S. economy. The S&P 500 Index was up 36.06% from its low on March 23 through the end of May 2020.
Against this backdrop, there was a
meaningful difference in performance between value and growth equities across the capitalization spectrum within the U.S. equity market. For example, among large cap stocks, the Russell 1000 Growth Index posted a
return of 26.25% as compared to the -1.64% return of the Russell 1000 Value Index for the annual period. International equities were weaker overall than U.S. equities. The MSCI EAFE Index (Net), representing developed
international market equities, posted a return of -2.81% for the annual period, and emerging markets equities struggled even more, with the MSCI Emerging Markets Index (Net) generating a return of -4.39%.
As U.S. equities sold off in the
first quarter of 2020, investors engaged in a “flight to quality,” and the fixed-income asset class overall outperformed equities both for the first quarter and for the 12-month period ended May 31, 2020.
The Bloomberg Barclays U.S. Aggregate Bond Index, a broad proxy for the U.S. fixed-income market, posted a return of 9.42%, led by U.S. Treasuries. The Bloomberg Barclays Treasury Index rose 11.36% for the annual
period, among the best returns in the capital markets. Securitized bonds and investment-grade corporate bonds also posted strong returns, as measured by the 6.46% return of the Bloomberg Barclays Securitized Index and
the 10.03% return of the Bloomberg Barclays U.S. Corporate Bond Index, respectively. In contrast, high-yield corporate bonds and emerging markets bonds, like equities, posted positive absolute returns through the
first eight months of the annual period but then experienced significant losses amid the COVID-19-driven turmoil. For the annual period overall, high-yield corporate bonds, as measured by the Bloomberg Barclays U.S.
Corporate High Yield Index, returned 1.32%, and emerging markets bonds, as measured by the JPMorgan Emerging Markets Bond Index-Global, returned 1.65%. The Bloomberg Barclays Global Aggregate Bond Index, a broad proxy
for the global fixed-income market, returned 5.59% for the annual period.
Returns of inflation-hedging asset
classes were mixed during the annual period. Real estate investment trusts (REITs) posted strong returns for the first eight months of the annual period but subsequently gave back those gains and more, resulting in a
-14.55% return for the FTSE Nareit Equity REITs index for the annual period. Commodities were also sharply negative. Oil prices, industrial metals and agricultural commodities fell on plummeting demand, even as gold
prices rose with investors flocking to perceived safe-haven assets. The Bloomberg Commodity Index posted a -17.05% return for the annual period. Conversely, global inflation-linked bonds, as measured by the Bloomberg
Barclays Global Inflation Linked Bond Index (unhedged), returned 5.73% during the annual period.
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Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
7 |
Manager Discussion of Fund Performance (continued)
Derivative positions in the
Fund
During the annual period, the
Fund used futures (including bond, currency, equity, index and interest rate futures), currency forwards, options and swaps (including credit default, credit default swap index, interest rate and total return swaps).
The Fund used derivatives for both hedging and non-hedging purposes, including, for example, seeking to enhance returns or as a substitute for a position in an underlying asset. The Fund also used derivatives to
manage its overall risk exposure and to obtain leverage (market exposure in excess of the Fund’s assets) within certain asset classes and during certain market environments in seeking to maintain attractive
expected risk-adjusted returns while adhering to the Fund’s risk allocation framework. The use of derivatives allows the Fund to pursue its risk allocation objectives. On a stand-alone basis, the use of these
derivatives had a positive impact on the Fund’s return.
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. The Fund’s investment in other funds subjects it to the investment performance (positive or negative), risks and expenses of these underlying funds. Asset allocation does not assure a profit or protect against loss. Investing in derivatives is a specialized activity that involves special risks that subject the Fund to significant loss potential, including when used as leverage, and may result in greater fluctuation in Fund
value. Commodity investments may be affected by the overall market and industry- and commodity-specific factors, and may be more volatile and less liquid than other investments. Short positions (where the underlying asset is not owned) can create unlimited risk. International investing involves certain risks and volatility due to potential political, economic or currency instabilities and different financial and accounting standards. Risks are enhanced for
emerging market issuers. Investment in or exposure to foreign currencies subjects the Fund to currency fluctuation and risk of loss. Investments in small- and mid-cap companies involve risks and volatility greater than investments in larger, more established companies. Fixed-income securities present issuer default risk. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and NAV. Falling rates may result in the Fund investing in lower yielding
debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. Interest payments on inflation-protected securities may be more volatile than interest paid on ordinary bonds. In periods of deflation, these securities provide no income. As a non-diversified fund, fewer investments could have a greater effect on performance. Investments selected using quantitative methods may perform differently from the market as a whole and may not enable the Fund to achieve its objective. Market or other (e.g., interest rate) environments may adversely affect the
liquidity of fund investments, negatively impacting their price. Generally, the less liquid the market at the time the Fund sells a holding, the greater the risk of loss or decline of value to the
Fund. See the Fund’s prospectus for more information on these and other risks.
The views expressed in this report
reflect the current views of the respective parties who have contributed to the report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult
to predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties
disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an
indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
| 8 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Understanding Your Fund’s
Expenses
(Unaudited)
(Unaudited)
As an investor, you incur two types
of costs. There are shareholder transaction costs, which generally include sales charges on purchases and may include redemption fees. There are also ongoing fund costs, which generally include management fees,
distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with
the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s
expenses
To illustrate these ongoing
costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment
of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the
“Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the
expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under
the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the
Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or
the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are
required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the
hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are
meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in
comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
Expenses paid during the period
are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal
half year and divided by 366.
Expenses do not include fees and
expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
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Columbia Adaptive Risk Allocation Fund | Annual Report 2020
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9 |
Portfolio of Investments
May 31, 2020
May 31, 2020
(Percentages represent value of
investments compared to net assets)
Investments in securities
| Alternative Strategies Funds 5.0% | ||
| Shares | Value ($) | |
| Columbia Commodity Strategy Fund, Institutional 3 Class(a) | 43,842,802 | 158,710,946 |
|
Total Alternative Strategies Funds
(Cost $165,032,910) |
158,710,946 | |
| Common Stocks 6.8% | ||
| Issuer | Shares | Value ($) |
| Consumer Discretionary 0.1% | ||
| Hotels, Restaurants & Leisure 0.1% | ||
| Marriott International, Inc., Class A | 25,356 | 2,244,006 |
| Total Consumer Discretionary | 2,244,006 | |
| Real Estate 6.7% | ||
| Equity Real Estate Investment Trusts (REITS) 6.7% | ||
| Alexandria Real Estate Equities, Inc. | 78,587 | 12,080,394 |
| American Homes 4 Rent, Class A | 341,625 | 8,622,615 |
| American Tower Corp. | 29,693 | 7,665,842 |
| AvalonBay Communities, Inc. | 46,128 | 7,196,429 |
| Boston Properties, Inc. | 77,573 | 6,669,727 |
| Camden Property Trust | 22,847 | 2,092,100 |
| Coresite Realty Corp. | 43,216 | 5,394,221 |
| Corporate Office Properties Trust | 127,343 | 3,179,755 |
| CyrusOne, Inc. | 25,700 | 1,910,538 |
| Digital Realty Trust, Inc. | 59,414 | 8,529,474 |
| Duke Realty Corp. | 272,559 | 9,397,834 |
| Equinix, Inc. | 23,986 | 16,733,353 |
| Equity LifeStyle Properties, Inc. | 190,406 | 11,862,294 |
| Equity Residential | 76,093 | 4,608,192 |
| Essex Property Trust, Inc. | 27,703 | 6,725,457 |
| Extra Space Storage, Inc. | 55,887 | 5,407,067 |
| First Industrial Realty Trust, Inc. | 219,709 | 8,322,577 |
| Four Corners Property Trust, Inc. | 93,871 | 2,029,491 |
| Gaming and Leisure Properties, Inc. | 242,945 | 8,391,320 |
| Healthpeak Properties, Inc. | 216,327 | 5,330,297 |
| Highwoods Properties, Inc. | 157,888 | 6,042,374 |
| Host Hotels & Resorts, Inc. | 492,193 | 5,876,784 |
| Investors Real Estate Trust | 72,292 | 5,125,503 |
| Invitation Homes, Inc. | 350,283 | 9,212,443 |
| Life Storage, Inc. | 57,332 | 5,588,723 |
| Common Stocks (continued) | ||
| Issuer | Shares | Value ($) |
| Medical Properties Trust, Inc. | 412,361 | 7,455,487 |
| National Storage Affiliates Trust | 95,991 | 2,880,690 |
| Outfront Media, Inc. | 71,490 | 1,003,720 |
| ProLogis, Inc. | 172,256 | 15,761,424 |
| SITE Centers Corp. | 219,584 | 1,245,041 |
| STORE Capital Corp. | 288,055 | 5,570,984 |
| Sun Communities, Inc. | 46,832 | 6,424,882 |
| Total | 214,337,032 | |
| Total Real Estate | 214,337,032 | |
|
Total Common Stocks
(Cost $222,202,353) |
216,581,038 | |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 10 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
11 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Money Market Funds 38.5% | ||
| Shares | Value ($) | |
| Columbia Short-Term Cash Fund, 0.308%(a),(f) | 1,221,295,894 | 1,221,418,023 |
|
Total Money Market Funds
(Cost $1,221,271,529) |
1,221,418,023 | |
|
Total Investments in Securities
(Cost: $3,496,488,272) |
3,553,237,257 | |
| Other Assets & Liabilities, Net | (376,807,099) | |
| Net Assets | 3,176,430,158 | |
At May 31, 2020,
securities and/or cash totaling $80,510,501 were pledged as collateral.
Investments in
derivatives
| Forward foreign currency exchange contracts | |||||
|
Currency to
be sold |
Currency to
be purchased |
Counterparty |
Settlement
date |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| 142,406,000,000 IDR | 9,021,603 USD | Citi | 06/04/2020 | — | (720,819) |
| 21,120,205,000 KRW | 17,157,646 USD | Citi | 06/04/2020 | 98,646 | — |
| 741,000 MXN | 29,832 USD | Citi | 06/04/2020 | — | (3,575) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 12 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Forward foreign currency exchange contracts (continued) | |||||
|
Currency to
be sold |
Currency to
be purchased |
Counterparty |
Settlement
date |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| 29,823,614,000 CLP | 34,945,117 USD | Goldman Sachs | 06/04/2020 | — | (2,315,612) |
| 185,029,000,000 IDR | 11,699,589 USD | Goldman Sachs | 06/04/2020 | — | (958,800) |
| 4,303,000 GBP | 5,386,000 USD | HSBC | 06/04/2020 | 71,749 | — |
| 128,769,097 GBP | 158,989,530 USD | HSBC | 06/04/2020 | — | (41,693) |
| 19,616,358,000 JPY | 182,588,491 USD | HSBC | 06/04/2020 | 689,161 | — |
| 4,655,525,000 JPY | 43,155,063 USD | HSBC | 06/04/2020 | — | (14,871) |
| 903,489,000 MXN | 37,233,763 USD | HSBC | 06/04/2020 | — | (3,498,339) |
| 312,249,000 NOK | 32,033,054 USD | HSBC | 06/04/2020 | — | (89,382) |
| 98,773,000 NZD | 60,329,729 USD | HSBC | 06/04/2020 | — | (983,102) |
| 53,000 PLN | 12,572 USD | HSBC | 06/04/2020 | — | (642) |
| 42,765,000 SEK | 4,538,893 USD | HSBC | 06/04/2020 | 227 | — |
| 22,626,000 SEK | 2,243,968 USD | HSBC | 06/04/2020 | — | (157,338) |
| 1,527,000 SGD | 1,072,407 USD | HSBC | 06/04/2020 | — | (8,432) |
| 3,700,982 USD | 397,137,000 JPY | HSBC | 06/04/2020 | — | (18,395) |
| 429,732 USD | 4,333,000 SEK | HSBC | 06/04/2020 | 30,131 | — |
| 728,389,000 ZAR | 38,259,786 USD | HSBC | 06/04/2020 | — | (3,230,474) |
| 192,088,000 AUD | 124,824,052 USD | Morgan Stanley | 06/04/2020 | — | (3,212,421) |
| 50,660,000 CAD | 36,064,612 USD | Morgan Stanley | 06/04/2020 | — | (729,573) |
| 23,865,000 CHF | 24,687,251 USD | Morgan Stanley | 06/04/2020 | — | (127,029) |
| 25,421,000 DKK | 3,785,876 USD | Morgan Stanley | 06/04/2020 | 99 | — |
| 11,358,000 DKK | 1,641,677 USD | Morgan Stanley | 06/04/2020 | — | (49,792) |
| 170,686,300 EUR | 185,717,950 USD | Morgan Stanley | 06/04/2020 | — | (3,760,175) |
| 25,398,000 GBP | 31,413,676 USD | Morgan Stanley | 06/04/2020 | 46,872 | — |
| 19,301,000 GBP | 23,792,645 USD | Morgan Stanley | 06/04/2020 | — | (44,297) |
| 57,803,000 HKD | 7,454,575 USD | Morgan Stanley | 06/04/2020 | — | (2,090) |
| 32,292,739 USD | 48,523,000 AUD | Morgan Stanley | 06/04/2020 | 50,321 | — |
| 31,703,739 USD | 43,676,000 CAD | Morgan Stanley | 06/04/2020 | 17,991 | — |
| 8,959,011 USD | 8,293,000 EUR | Morgan Stanley | 06/04/2020 | 247,013 | — |
| 1,833,916 USD | 1,456,000 GBP | Morgan Stanley | 06/04/2020 | — | (35,740) |
| 176,340,000 ZAR | 9,211,145 USD | Morgan Stanley | 06/04/2020 | — | (833,477) |
| 21,478,000 BRL | 3,946,348 USD | Standard Chartered | 06/04/2020 | — | (78,104) |
| 287,555,000,000 IDR | 18,240,089 USD | Standard Chartered | 06/04/2020 | — | (1,432,411) |
| 22,705,072,000 KRW | 18,455,657 USD | Standard Chartered | 06/04/2020 | 116,543 | — |
| Total | 1,368,753 | (22,346,583) | |||
| Long futures contracts | ||||||
| Description |
Number of
contracts |
Expiration
date |
Trading
currency |
Notional
amount |
Value/Unrealized
appreciation ($) |
Value/Unrealized
depreciation ($) |
| Australian 10-Year Bond | 920 | 06/2020 | AUD | 137,051,802 | — | (1,697,873) |
| Canadian Government 10-Year Bond | 201 | 09/2020 | CAD | 30,881,640 | 16,576 | — |
| Euro-BTP | 250 | 06/2020 | EUR | 35,540,000 | 1,050,601 | — |
| Euro-BTP | 166 | 06/2020 | EUR | 23,598,560 | — | (850,217) |
| Euro-Bund | 174 | 06/2020 | EUR | 30,008,040 | — | (204,711) |
| Euro-OAT | 296 | 06/2020 | EUR | 49,858,240 | — | (733,993) |
| Japanese 10-Year Government Bond | 57 | 06/2020 | JPY | 8,675,400,000 | — | (1,983,855) |
| Long Gilt | 434 | 09/2020 | GBP | 59,648,960 | — | (39,045) |
| MSCI EAFE Index | 2,816 | 06/2020 | USD | 242,964,480 | 14,934,180 | — |
| MSCI Emerging Markets Index | 679 | 06/2020 | USD | 31,671,955 | — | (11,297) |
| S&P 500 Index E-mini | 1,674 | 06/2020 | USD | 254,615,400 | 42,996,814 | — |
| S&P 500 Index E-mini | 2,548 | 06/2020 | USD | 387,550,800 | — | (175,387) |
| S&P/TSX 60 Index | 228 | 06/2020 | CAD | 41,755,920 | 1,738,671 | — |
| U.S. Treasury 10-Year Note | 411 | 09/2020 | USD | 57,154,688 | 108,416 | — |
| U.S. Treasury 5-Year Note | 208 | 09/2020 | USD | 26,130,000 | 32,126 | — |
| U.S. Ultra Bond 10-Year Note | 181 | 09/2020 | USD | 28,476,391 | 43,241 | — |
| Total | 60,920,625 | (5,696,378) | ||||
The accompanying Notes to Financial
Statements are an integral part of this statement.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
13 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
| Cleared credit default swap contracts - sell protection | ||||||||||||
|
Reference
entity |
Counterparty |
Maturity
date |
Receive
fixed rate (%) |
Payment
frequency |
Implied
credit spread (%)* |
Notional
currency |
Notional
amount |
Value
($) |
Upfront
payments ($) |
Upfront
receipts ($) |
Unrealized
appreciation ($) |
Unrealized
depreciation ($) |
| Markit CDX Emerging Markets Index, Series 33 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 2.909 | USD | 277,878,000 | 3,921,178 | — | — | 3,921,178 | — |
| Markit CDX North America High Yield Index, Series 34 | Morgan Stanley | 06/20/2025 | 5.000 | Quarterly | 5.494 | USD | 481,566,120 | 6,977,311 | — | — | 6,977,311 | — |
| Markit CDX North America Investment Grade Index, Series 34 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.790 | USD | 406,858,000 | 4,286,903 | — | — | 4,286,903 | — |
| Markit iTraxx Europe Main Index, Series 33 | Morgan Stanley | 06/20/2025 | 1.000 | Quarterly | 0.723 | EUR | 84,560,000 | 36,535 | — | — | 36,535 | — |
| Total | 15,221,927 | — | — | 15,221,927 | — | |||||||
| * | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| Reference index and values for swap contracts as of period end | ||
| Reference index | Reference rate | |
| 3-Month SEK STIBOR | Stockholm Interbank Offered Rate | 0.177% |
| 6-Month NOK NIBOR | Norwegian Interbank Offered Rate | 0.430% |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 14 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
Notes to Portfolio of
Investments
| (a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2020 are as follows: |
| (b) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (c) | Principal and interest may not be guaranteed by a governmental entity. |
| (d) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2020, the total value of these securities amounted to $312,363,120, which represents 9.83% of total net assets. |
| (e) | Represents a security purchased on a when-issued basis. |
| (f) | The rate shown is the seven-day current annualized yield at May 31, 2020. |
Abbreviation Legend
| TBA | To Be Announced |
Currency Legend
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canada Dollar |
| CHF | Swiss Franc |
| CLP | Chilean Peso |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| IDR | Indonesian Rupiah |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PLN | Polish Zloty |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| USD | US Dollar |
| ZAR | South African Rand |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
15 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
Fair value measurements
The Fund categorizes its fair
value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available.
Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the
Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is
deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example,
certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in
the three broad levels listed below:
| ■ | Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| ■ | Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| ■ | Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining
fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary
between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered
by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include
periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels
within the hierarchy.
Investments falling into the Level 3
category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency
and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant
unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and
estimated cash flows, and comparable company data.
Under the direction of the
Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of
voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly
to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of
Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third
party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale
pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to
discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members
of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of
the inputs used to value the Fund’s investments at May 31, 2020:
| Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
| Investments in Securities | ||||
| Alternative Strategies Funds | 158,710,946 | — | — | 158,710,946 |
| Common Stocks | ||||
| Consumer Discretionary | 2,244,006 | — | — | 2,244,006 |
| Real Estate | 214,337,032 | — | — | 214,337,032 |
| Total Common Stocks | 216,581,038 | — | — | 216,581,038 |
| Foreign Government Obligations | — | 467,812,668 | — | 467,812,668 |
| Inflation-Indexed Bonds | — | 483,550,859 | — | 483,550,859 |
| Residential Mortgage-Backed Securities - Agency | — | 309,927,904 | — | 309,927,904 |
| U.S. Treasury Obligations | 695,235,819 | — | — | 695,235,819 |
| Money Market Funds | 1,221,418,023 | — | — | 1,221,418,023 |
| Total Investments in Securities | 2,291,945,826 | 1,261,291,431 | — | 3,553,237,257 |
| Investments in Derivatives | ||||
| Asset | ||||
| Forward Foreign Currency Exchange Contracts | — | 1,368,753 | — | 1,368,753 |
| Futures Contracts | 60,920,625 | — | — | 60,920,625 |
| Swap Contracts | — | 15,330,519 | — | 15,330,519 |
| Liability | ||||
| Forward Foreign Currency Exchange Contracts | — | (22,346,583) | — | (22,346,583) |
| Futures Contracts | (5,696,378) | — | — | (5,696,378) |
| Swap Contracts | — | (680,897) | — | (680,897) |
| Total | 2,347,170,073 | 1,254,963,223 | — | 3,602,133,296 |
See the Portfolio of Investments for
all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 16 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Portfolio of Investments (continued)
May 31, 2020
May 31, 2020
Fair value measurements (continued)
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at
unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
17 |
Statement of Assets and Liabilities
May 31, 2020
May 31, 2020
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $2,110,183,833) | $2,173,108,288 |
| Affiliated issuers (cost $1,386,304,439) | 1,380,128,969 |
| Foreign currency (cost $2,545,003) | 2,632,166 |
| Cash collateral held at broker for: | |
| Forward foreign currency exchange contracts | 4,315,000 |
| TBA | 585,000 |
| Margin deposits on: | |
| Futures contracts | 40,067,478 |
| Swap contracts | 35,543,023 |
| Unrealized appreciation on forward foreign currency exchange contracts | 1,368,753 |
| Receivable for: | |
| Investments sold | 168,476,036 |
| Investments sold on a delayed delivery basis | 58,966,167 |
| Capital shares sold | 8,639,934 |
| Dividends | 423,476 |
| Interest | 12,478,489 |
| Foreign tax reclaims | 129,573 |
| Variation margin for futures contracts | 1,202,801 |
| Variation margin for swap contracts | 2,171,893 |
| Prepaid expenses | 2,008 |
| Trustees’ deferred compensation plan | 77,152 |
| Total assets | 3,890,316,206 |
| Liabilities | |
| Unrealized depreciation on forward foreign currency exchange contracts | 22,346,583 |
| Payable for: | |
| Investments purchased | 290,585,443 |
| Investments purchased on a delayed delivery basis | 369,586,778 |
| Capital shares purchased | 2,287,743 |
| Variation margin for futures contracts | 1,392,215 |
| Variation margin for swap contracts | 25,437,724 |
| Management services fees | 1,835,467 |
| Distribution and/or service fees | 105,278 |
| Transfer agent fees | 133,230 |
| Compensation of chief compliance officer | 180 |
| Other expenses | 98,255 |
| Trustees’ deferred compensation plan | 77,152 |
| Total liabilities | 713,886,048 |
| Net assets applicable to outstanding capital stock | $3,176,430,158 |
| Represented by | |
| Paid in capital | 3,222,139,149 |
| Total distributable earnings (loss) | (45,708,991) |
| Total - representing net assets applicable to outstanding capital stock | $3,176,430,158 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 18 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Statement of Assets and Liabilities (continued)
May 31, 2020
May 31, 2020
| Class A | |
| Net assets | $141,074,475 |
| Shares outstanding | 13,756,724 |
| Net asset value per share | $10.25 |
| Maximum sales charge | 5.75% |
| Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $10.88 |
| Advisor Class | |
| Net assets | $41,311,913 |
| Shares outstanding | 3,983,795 |
| Net asset value per share | $10.37 |
| Class C | |
| Net assets | $95,089,747 |
| Shares outstanding | 9,658,329 |
| Net asset value per share | $9.85 |
| Institutional Class | |
| Net assets | $2,845,593,195 |
| Shares outstanding | 274,561,416 |
| Net asset value per share | $10.36 |
| Institutional 2 Class | |
| Net assets | $38,829,397 |
| Shares outstanding | 3,737,700 |
| Net asset value per share | $10.39 |
| Institutional 3 Class | |
| Net assets | $14,168,365 |
| Shares outstanding | 1,360,490 |
| Net asset value per share | $10.41 |
| Class R | |
| Net assets | $363,066 |
| Shares outstanding | 35,843 |
| Net asset value per share | $10.13 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
19 |
Statement of Operations
Year Ended May 31, 2020
Year Ended May 31, 2020
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $6,203,712 |
| Dividends — affiliated issuers | 22,491,956 |
| Interest | 24,077,519 |
| Foreign taxes withheld | (200,712) |
| Total income | 52,572,475 |
| Expenses: | |
| Management services fees | 20,458,219 |
| Distribution and/or service fees | |
| Class A | 330,408 |
| Class C | 971,035 |
| Class R | 1,748 |
| Transfer agent fees | |
| Class A | 66,382 |
| Advisor Class | 19,992 |
| Class C | 48,700 |
| Institutional Class | 1,348,385 |
| Institutional 2 Class | 17,978 |
| Institutional 3 Class | 1,419 |
| Class R | 175 |
| Compensation of board members | 51,505 |
| Custodian fees | 126,481 |
| Printing and postage fees | 97,932 |
| Registration fees | 211,822 |
| Audit fees | 44,987 |
| Legal fees | 70,227 |
| Interest on collateral | 2,483 |
| Compensation of chief compliance officer | 1,095 |
| Other | 73,235 |
| Total expenses | 23,944,208 |
| Expense reduction | (20) |
| Total net expenses | 23,944,188 |
| Net investment income | 28,628,287 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 86,230,537 |
| Investments — affiliated issuers | (57,270,259) |
| Foreign currency translations | (2,158,935) |
| Forward foreign currency exchange contracts | 35,031,386 |
| Futures contracts | (5,493,649) |
| Options purchased | (4,576,352) |
| Swap contracts | (21,333,502) |
| Net realized gain | 30,429,226 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 13,006,291 |
| Investments — affiliated issuers | 24,430,236 |
| Foreign currency translations | 235,585 |
| Forward foreign currency exchange contracts | (16,895,855) |
| Futures contracts | 67,529,937 |
| Swap contracts | 19,563,382 |
| Net change in unrealized appreciation (depreciation) | 107,869,576 |
| Net realized and unrealized gain | 138,298,802 |
| Net increase in net assets resulting from operations | $166,927,089 |
The accompanying Notes to Financial
Statements are an integral part of this statement.
| 20 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Statement of Changes in Net Assets
|
Year Ended
May 31, 2020 |
Year Ended
May 31, 2019 |
|
| Operations | ||
| Net investment income | $28,628,287 | $61,947,381 |
| Net realized gain | 30,429,226 | 14,896,085 |
| Net change in unrealized appreciation (depreciation) | 107,869,576 | (4,439,987) |
| Net increase in net assets resulting from operations | 166,927,089 | 72,403,479 |
| Distributions to shareholders | ||
| Net investment income and net realized gains | ||
| Class A | (9,500,451) | (6,691,828) |
| Advisor Class | (2,950,003) | (1,340,117) |
| Class C | (6,518,987) | (4,694,734) |
| Institutional Class | (193,500,858) | (149,867,086) |
| Institutional 2 Class | (2,241,416) | (1,017,275) |
| Institutional 3 Class | (1,052,791) | (713,106) |
| Class R | (24,678) | (15,557) |
| Total distributions to shareholders | (215,789,184) | (164,339,703) |
| Increase (decrease) in net assets from capital stock activity | 325,270,491 | (70,059,217) |
| Total increase (decrease) in net assets | 276,408,396 | (161,995,441) |
| Net assets at beginning of year | 2,900,021,762 | 3,062,017,203 |
| Net assets at end of year | $3,176,430,158 | $2,900,021,762 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
21 |
Statement of Changes in Net Assets (continued)
| Year Ended | Year Ended | |||
| May 31, 2020 | May 31, 2019 | |||
| Shares | Dollars ($) | Shares | Dollars ($) | |
| Capital stock activity | ||||
| Class A | ||||
| Subscriptions | 3,643,924 | 38,491,878 | 2,572,676 | 27,177,513 |
| Distributions reinvested | 870,313 | 9,242,723 | 666,278 | 6,489,542 |
| Redemptions | (2,263,188) | (23,881,177) | (4,033,977) | (42,402,978) |
| Net increase (decrease) | 2,251,049 | 23,853,424 | (795,023) | (8,735,923) |
| Advisor Class | ||||
| Subscriptions | 2,138,940 | 22,909,172 | 1,851,485 | 19,838,442 |
| Distributions reinvested | 274,751 | 2,948,085 | 136,244 | 1,339,278 |
| Redemptions | (1,312,832) | (13,787,328) | (915,455) | (9,725,036) |
| Net increase | 1,100,859 | 12,069,929 | 1,072,274 | 11,452,684 |
| Class C | ||||
| Subscriptions | 1,727,484 | 17,550,503 | 1,490,522 | 15,126,445 |
| Distributions reinvested | 623,361 | 6,376,981 | 490,456 | 4,615,193 |
| Redemptions | (2,107,898) | (21,508,517) | (3,062,626) | (31,133,253) |
| Net increase (decrease) | 242,947 | 2,418,967 | (1,081,648) | (11,391,615) |
| Institutional Class | ||||
| Subscriptions | 71,682,680 | 759,486,708 | 63,151,187 | 675,630,489 |
| Distributions reinvested | 17,517,511 | 187,787,720 | 14,952,537 | 146,983,443 |
| Redemptions | (62,974,993) | (679,443,998) | (84,860,461) | (903,078,843) |
| Net increase (decrease) | 26,225,198 | 267,830,430 | (6,756,737) | (80,464,911) |
| Institutional 2 Class | ||||
| Subscriptions | 2,778,130 | 29,854,974 | 1,430,396 | 15,063,666 |
| Distributions reinvested | 208,483 | 2,241,198 | 103,260 | 1,017,111 |
| Redemptions | (1,368,060) | (14,372,694) | (881,340) | (9,326,179) |
| Net increase | 1,618,553 | 17,723,478 | 652,316 | 6,754,598 |
| Institutional 3 Class | ||||
| Subscriptions | 158,518 | 1,727,852 | 1,172,838 | 12,575,719 |
| Distributions reinvested | 97,734 | 1,052,591 | 72,235 | 712,957 |
| Redemptions | (128,981) | (1,351,365) | (12,100) | (126,086) |
| Net increase | 127,271 | 1,429,078 | 1,232,973 | 13,162,590 |
| Class R | ||||
| Subscriptions | 4,351 | 46,482 | 16,851 | 178,342 |
| Distributions reinvested | 2,331 | 24,474 | 1,598 | 15,408 |
| Redemptions | (11,908) | (125,771) | (7,808) | (83,017) |
| Net increase (decrease) | (5,226) | (54,815) | 10,641 | 110,733 |
| Class T | ||||
| Redemptions | — | — | (90,101) | (947,373) |
| Net decrease | — | — | (90,101) | (947,373) |
| Total net increase (decrease) | 31,560,651 | 325,270,491 | (5,755,305) | (70,059,217) |
The accompanying Notes to Financial Statements are
an integral part of this statement.
| 22 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
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|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
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23 |
Financial Highlights
The following table is intended to
help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are
calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total
return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain
derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
|
Net asset value,
beginning of period |
Net
investment income (loss) |
Net
realized and unrealized gain (loss) |
Increase
from payment by affiliate |
Total from
investment operations |
Distributions
from net investment income |
Distributions
from net realized gains |
Total
distributions to shareholders |
|
| Class A | ||||||||
| Year Ended 5/31/2020 | $10.44 | 0.08 | 0.51 | — | 0.59 | (0.26) | (0.52) | (0.78) |
| Year Ended 5/31/2019 | $10.81 | 0.20 | 0.01 | — | 0.21 | (0.35) | (0.23) | (0.58) |
| Year Ended 5/31/2018 | $10.83 | 0.04 | 0.72 | — | 0.76 | — | (0.78) | (0.78) |
| Year Ended 5/31/2017 | $10.01 | (0.01) | 1.03 | 0.00(e) | 1.02 | (0.10) | (0.10) | (0.20) |
| Year Ended 5/31/2016 | $10.17 | (0.03) | (0.03)(g) | — | (0.06) | — | (0.10) | (0.10) |
| Advisor Class | ||||||||
| Year Ended 5/31/2020 | $10.55 | 0.10 | 0.53 | — | 0.63 | (0.29) | (0.52) | (0.81) |
| Year Ended 5/31/2019 | $10.92 | 0.23 | 0.01 | — | 0.24 | (0.38) | (0.23) | (0.61) |
| Year Ended 5/31/2018 | $10.92 | 0.07 | 0.71 | — | 0.78 | (0.00)(e) | (0.78) | (0.78) |
| Year Ended 5/31/2017 | $10.08 | 0.02 | 1.05 | 0.00(e) | 1.07 | (0.13) | (0.10) | (0.23) |
| Year Ended 5/31/2016 | $10.21 | (0.01) | (0.02)(g) | — | (0.03) | — | (0.10) | (0.10) |
| Class C | ||||||||
| Year Ended 5/31/2020 | $10.05 | 0.00(e) | 0.50 | — | 0.50 | (0.18) | (0.52) | (0.70) |
| Year Ended 5/31/2019 | $10.42 | 0.11 | 0.02 | — | 0.13 | (0.27) | (0.23) | (0.50) |
| Year Ended 5/31/2018 | $10.55 | (0.04) | 0.69 | — | 0.65 | — | (0.78) | (0.78) |
| Year Ended 5/31/2017 | $9.75 | (0.08) | 1.01 | 0.00(e) | 0.93 | (0.03) | (0.10) | (0.13) |
| Year Ended 5/31/2016 | $9.98 | (0.10) | (0.03)(g) | — | (0.13) | — | (0.10) | (0.10) |
| Institutional Class | ||||||||
| Year Ended 5/31/2020 | $10.55 | 0.11 | 0.51 | — | 0.62 | (0.29) | (0.52) | (0.81) |
| Year Ended 5/31/2019 | $10.91 | 0.22 | 0.03 | — | 0.25 | (0.38) | (0.23) | (0.61) |
| Year Ended 5/31/2018 | $10.91 | 0.06 | 0.72 | — | 0.78 | (0.00)(e) | (0.78) | (0.78) |
| Year Ended 5/31/2017 | $10.08 | 0.05 | 1.01 | 0.00(e) | 1.06 | (0.13) | (0.10) | (0.23) |
| Year Ended 5/31/2016 | $10.21 | (0.01) | (0.02)(g) | — | (0.03) | — | (0.10) | (0.10) |
| Institutional 2 Class | ||||||||
| Year Ended 5/31/2020 | $10.57 | 0.10 | 0.53 | — | 0.63 | (0.29) | (0.52) | (0.81) |
| Year Ended 5/31/2019 | $10.93 | 0.22 | 0.03 | — | 0.25 | (0.38) | (0.23) | (0.61) |
| Year Ended 5/31/2018 | $10.93 | 0.06 | 0.72 | — | 0.78 | (0.00)(e) | (0.78) | (0.78) |
| Year Ended 5/31/2017 | $10.10 | 0.03 | 1.03 | 0.00(e) | 1.06 | (0.13) | (0.10) | (0.23) |
| Year Ended 5/31/2016 | $10.22 | 0.00(e) | (0.02)(g) | — | (0.02) | — | (0.10) | (0.10) |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 24 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Financial Highlights (continued)
|
Net
asset value, end of period |
Total
return |
Total gross
expense ratio to average net assets(a) |
Total net
expense ratio to average net assets(a),(b) |
Net investment
income (loss) ratio to average net assets |
Portfolio
turnover |
Net
assets, end of period (000’s) |
|
| Class A | |||||||
| Year Ended 5/31/2020 | $10.25 | 5.41% | 1.01%(c) | 1.01%(c),(d) | 0.74% | 314% | $141,074 |
| Year Ended 5/31/2019 | $10.44 | 2.33% | 1.00% | 1.00%(d) | 1.87% | 203% | $120,147 |
| Year Ended 5/31/2018 | $10.81 | 7.07% | 0.99% | 0.99%(d) | 0.33% | 210% | $132,920 |
| Year Ended 5/31/2017 | $10.83 | 10.35%(f) | 0.99% | 0.99%(d) | (0.07%) | 396% | $100,790 |
| Year Ended 5/31/2016 | $10.01 | (0.55%) | 1.15% | 1.07%(d) | (0.32%) | 254% | $140,291 |
| Advisor Class | |||||||
| Year Ended 5/31/2020 | $10.37 | 5.71% | 0.76%(c) | 0.76%(c),(d) | 0.98% | 314% | $41,312 |
| Year Ended 5/31/2019 | $10.55 | 2.58% | 0.75% | 0.75%(d) | 2.14% | 203% | $30,420 |
| Year Ended 5/31/2018 | $10.92 | 7.26% | 0.74% | 0.74%(d) | 0.59% | 210% | $19,764 |
| Year Ended 5/31/2017 | $10.92 | 10.75%(f) | 0.74% | 0.74%(d) | 0.20% | 396% | $11,580 |
| Year Ended 5/31/2016 | $10.08 | (0.25%) | 0.90% | 0.82%(d) | (0.08%) | 254% | $10,908 |
| Class C | |||||||
| Year Ended 5/31/2020 | $9.85 | 4.73% | 1.76%(c) | 1.76%(c),(d) | 0.00% | 314% | $95,090 |
| Year Ended 5/31/2019 | $10.05 | 1.56% | 1.75% | 1.75%(d) | 1.10% | 203% | $94,648 |
| Year Ended 5/31/2018 | $10.42 | 6.19% | 1.74% | 1.74%(d) | (0.43%) | 210% | $109,335 |
| Year Ended 5/31/2017 | $10.55 | 9.59%(f) | 1.74% | 1.74%(d) | (0.77%) | 396% | $95,199 |
| Year Ended 5/31/2016 | $9.75 | (1.26%) | 1.90% | 1.82%(d) | (1.09%) | 254% | $61,386 |
| Institutional Class | |||||||
| Year Ended 5/31/2020 | $10.36 | 5.62% | 0.76%(c) | 0.76%(c),(d) | 1.00% | 314% | $2,845,593 |
| Year Ended 5/31/2019 | $10.55 | 2.67% | 0.75% | 0.75%(d) | 2.11% | 203% | $2,618,924 |
| Year Ended 5/31/2018 | $10.91 | 7.26% | 0.74% | 0.74%(d) | 0.59% | 210% | $2,782,662 |
| Year Ended 5/31/2017 | $10.91 | 10.64%(f) | 0.73% | 0.73%(d) | 0.46% | 396% | $1,810,897 |
| Year Ended 5/31/2016 | $10.08 | (0.25%) | 0.90% | 0.82%(d) | (0.06%) | 254% | $25,871 |
| Institutional 2 Class | |||||||
| Year Ended 5/31/2020 | $10.39 | 5.69% | 0.77%(c) | 0.77%(c) | 0.95% | 314% | $38,829 |
| Year Ended 5/31/2019 | $10.57 | 2.65% | 0.76% | 0.76% | 2.10% | 203% | $22,397 |
| Year Ended 5/31/2018 | $10.93 | 7.24% | 0.75% | 0.75% | 0.57% | 210% | $16,033 |
| Year Ended 5/31/2017 | $10.93 | 10.69%(f) | 0.73% | 0.73% | 0.24% | 396% | $7,177 |
| Year Ended 5/31/2016 | $10.10 | (0.15%) | 0.79% | 0.73% | 0.03% | 254% | $1,628 |
The accompanying Notes to
Financial Statements are an integral part of this statement.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
25 |
Financial Highlights (continued)
|
Net asset value,
beginning of period |
Net
investment income (loss) |
Net
realized and unrealized gain (loss) |
Increase
from payment by affiliate |
Total from
investment operations |
Distributions
from net investment income |
Distributions
from net realized gains |
Total
distributions to shareholders |
|
| Institutional 3 Class | ||||||||
| Year Ended 5/31/2020 | $10.59 | 0.11 | 0.52 | — | 0.63 | (0.29) | (0.52) | (0.81) |
| Year Ended 5/31/2019 | $10.95 | 0.32 | (0.07)(g) | — | 0.25 | (0.38) | (0.23) | (0.61) |
| Year Ended 5/31/2018 | $10.95 | 0.07 | 0.72 | — | 0.79 | (0.01) | (0.78) | (0.79) |
| Year Ended 5/31/2017 | $10.11 | 0.03 | 1.05 | 0.00(e) | 1.08 | (0.14) | (0.10) | (0.24) |
| Year Ended 5/31/2016 | $10.23 | 0.00(e) | (0.02)(g) | — | (0.02) | — | (0.10) | (0.10) |
| Class R | ||||||||
| Year Ended 5/31/2020 | $10.32 | 0.05 | 0.52 | — | 0.57 | (0.24) | (0.52) | (0.76) |
| Year Ended 5/31/2019 | $10.69 | 0.16 | 0.02 | — | 0.18 | (0.32) | (0.23) | (0.55) |
| Year Ended 5/31/2018 | $10.75 | (0.01) | 0.73 | — | 0.72 | — | (0.78) | (0.78) |
| Year Ended 5/31/2017 | $9.93 | (0.03) | 1.03 | 0.00(e) | 1.00 | (0.08) | (0.10) | (0.18) |
| Year Ended 5/31/2016 | $10.11 | (0.06) | (0.02)(g) | — | (0.08) | — | (0.10) | (0.10) |
| Notes to Financial Highlights | |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | Ratios include interest on collateral expense which is less than 0.01%. |
| (d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
| (e) | Rounds to zero. |
| (f) | The Fund received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.02%. |
| (g) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
The accompanying Notes to
Financial Statements are an integral part of this statement.
| 26 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Financial Highlights (continued)
|
Net
asset value, end of period |
Total
return |
Total gross
expense ratio to average net assets(a) |
Total net
expense ratio to average net assets(a),(b) |
Net investment
income (loss) ratio to average net assets |
Portfolio
turnover |
Net
assets, end of period (000’s) |
|
| Institutional 3 Class | |||||||
| Year Ended 5/31/2020 | $10.41 | 5.73% | 0.72%(c) | 0.72%(c) | 1.04% | 314% | $14,168 |
| Year Ended 5/31/2019 | $10.59 | 2.67% | 0.71% | 0.71% | 3.02% | 203% | $13,063 |
| Year Ended 5/31/2018 | $10.95 | 7.29% | 0.69% | 0.69% | 0.65% | 210% | $3 |
| Year Ended 5/31/2017 | $10.95 | 10.85%(f) | 0.67% | 0.67% | 0.29% | 396% | $3 |
| Year Ended 5/31/2016 | $10.11 | (0.15%) | 0.76% | 0.69% | 0.02% | 254% | $2 |
| Class R | |||||||
| Year Ended 5/31/2020 | $10.13 | 5.22% | 1.26%(c) | 1.26%(c),(d) | 0.51% | 314% | $363 |
| Year Ended 5/31/2019 | $10.32 | 2.07% | 1.25% | 1.25%(d) | 1.54% | 203% | $424 |
| Year Ended 5/31/2018 | $10.69 | 6.75% | 1.25% | 1.25%(d) | (0.08%) | 210% | $325 |
| Year Ended 5/31/2017 | $10.75 | 10.15%(f) | 1.22% | 1.22%(d) | (0.25%) | 396% | $5,900 |
| Year Ended 5/31/2016 | $9.93 | (0.75%) | 1.38% | 1.34%(d) | (0.57%) | 254% | $861 |
The accompanying Notes to Financial Statements are
an integral part of this statement.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
27 |
Notes to Financial Statements
May 31, 2020
May 31, 2020
Note 1. Organization
Columbia Adaptive Risk Allocation
Fund (the Fund), a series of Columbia Funds Series Trust I (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management
investment company organized as a Massachusetts business trust.
The Fund invests significantly in
shares of affiliated funds managed by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), or its affiliates as well as
third-party advised (unaffiliated) funds, including exchange-traded funds (collectively, Underlying Funds).
For information on the Underlying
Funds, please refer to the Fund’s current prospectus and the prospectuses of the Underlying Funds, which are available, free of charge, from the Securities and Exchange Commission website at www.sec.gov.
Fund shares
The Trust may issue an unlimited
number of shares (without par value). The Fund offers each of the share classes listed in the Statement of Assets and Liabilities. Although all share classes generally have identical voting, dividend and liquidation
rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense and sales charge structure. Different share classes may have
different minimum initial investment amounts and pay different net investment income distribution amounts to the extent the expenses of distributing such share classes vary. Distributions to shareholders in a
liquidation will be proportional to the net asset value of each share class.
As described in the Fund’s
prospectus, Class A and Class C shares are offered to the general public for investment. Class C shares automatically convert to Class A shares after 10 years. Advisor Class, Institutional Class, Institutional 2
Class, Institutional 3 Class and Class R shares are available for purchase through authorized investment professionals to omnibus retirement plans or to institutional investors and to certain other investors as also
described in the Fund’s prospectus.
Note 2. Summary of
significant accounting policies
Basis of preparation
The Fund is an investment company
that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires
management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of
significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an
exchange are valued at the closing price or last trade on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any
exchange are valued at the mean between the closing bid and asked prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Debt securities generally are
valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take
into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for
which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or
less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
| 28 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Asset- and mortgage-backed
securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data,
including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage,
prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or
exchange bid quote from an approved independent broker-dealer.
Investments in the Underlying Funds
(other than ETFs) are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange
contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures
contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Swap transactions are valued
through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market
quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by
and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published
price for the security, if available.
The determination of fair value
often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used
to determine fair value.
GAAP requires disclosure regarding
the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following
the Fund’s Portfolio of Investments.
Foreign currency transactions and
translations
The values of all assets and
liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains
(losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising
from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes,
the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations
are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain
derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities,
currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets),
for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks,
such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms
of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
29 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
terminate, including at favorable prices) and the
potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are
not recorded in the financial statements.
A derivative instrument may suffer
a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its
obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by
the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk
to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract;
therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin
that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time
there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers
(including the Fund), potentially resulting in losses to the Fund.
In order to better define its
contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement)
or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among
other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty
certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment
in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or
prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements
differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain
circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by
netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount
of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully
collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense
paid by the Fund is shown on the Statement of Operations. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor
their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements
allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified
time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights
if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether
termination would result in a net liability owed from the counterparty.
For financial reporting purposes,
the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
| 30 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Forward foreign currency exchange
contracts
Forward foreign currency exchange
contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Fund utilized forward foreign currency exchange contracts to hedge the currency exposure
associated with some or all of the Fund’s securities, to shift foreign currency exposure back to U.S. dollars, to shift U.S. dollar exposure to achieve a representative weighted mix of major currencies in its
benchmark and to generate total return through long and short positions versus the U.S. dollar. These instruments may be used for other purposes in future periods.
The values of forward foreign
currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is
exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires. Non-deliverable forward foreign currency exchange contracts are settled with the
counterparty in U.S. dollars without delivery of foreign currency.
The use of forward foreign currency
exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign
currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in
the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are
exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve
exposure of the Fund versus the benchmark, to manage exposure to movements in interest rates and to maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily redemptions. These
instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a
loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying
asset.
Upon entering into a futures
contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be
maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are
designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are
recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to
varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle
the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the
index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund [purchased and wrote] option contracts [to produce incremental earnings, to decrease the Fund’s exposure to
equity market risk and to increase return on investments, to protect gains, to facilitate buying and selling of securities for investments, to hedge the security exposure associated with some or all of the
Fund’s securities, to synthetically add or subtract principal exposure to a security, to manage exposure to fluctuations in interest rates and to hedge the fair value of the Fund’s investments]. These
instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. Cash collateral may
be collected or posted by the Fund to secure certain over-the-counter option contract trades. Cash collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon
closure, exercise or expiration of the contract.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
31 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Options contracts purchased are
recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and
Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the
contract is exercised or has expired. The Fund will realize a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put
option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options
purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the
contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in
writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put
option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund
purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable
change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Swap contracts
Swap contracts are negotiated in
the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap
contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit
initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap
contract. Securities deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. Unlike a bilateral swap
contract, for centrally cleared swap contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts
are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable
for variation margin in the Statement of Assets and Liabilities.
Entering into these contracts
involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there
may be unfavorable changes in interest rates, market conditions or other conditions, that it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in
significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
Credit default swap contracts
The Fund entered into credit
default swap contracts to increase or decrease its credit exposure to an index and to manage credit risk exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are
agreements in which one party pays fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although
specified credit events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit
default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange
for a cash payment of its par amount,
| 32 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
or to receive a net cash settlement equal to the
par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the value of the obligation or cash delivered and the notional amount received will be
recorded as a realized gain (loss).
As the seller of a credit default
swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation
(depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference
obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery
value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of
undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may
be partially offset by any recovery values of the respective reference obligations or upfront receipts upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in
which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund
bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an
indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s
credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any upfront payments or receipts by
the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default
swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can
involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging
risk, correlation risk and liquidity risk.
Interest rate swap contracts
The Fund entered into interest rate
swap transactions which may include inflation rate swap contracts to manage interest rate and market risk exposure to produce incremental earnings, to gain exposure to or protect itself from market rate changes and to
synthetically add or subtract principal exposure to a market. These instruments may be used for other purposes in future periods. An interest rate swap is an agreement between two parties where there are two flows and
payments are made between the two counterparties and the payments are dependent upon changes in an interest rate, inflation rate or inflation index calculated on a nominal amount. Interest rate swaps are agreements
between two parties that involve the exchange of one type of interest rate for another type of interest rate cash flow on specified dates in the future, based on a predetermined, specified notional amount. Certain
interest rate swaps are considered forward-starting, whereby the accrual for the exchange of cash flows does not begin until a specified date in the future. The net cash flow for a standard interest rate swap
transaction is generally the difference between a floating market interest rate versus a fixed interest rate.
Interest rate swaps are valued
daily and unrealized appreciation (depreciation) is recorded. Certain interest rate swaps may accrue periodic interest on a daily basis as a component of unrealized appreciation (depreciation); the Fund will realize a
gain or loss upon the payment or receipt of accrued interest. The Fund will realize a gain or a loss when the interest rate swap is terminated.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
33 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Effects of derivative transactions in
the financial statements
The following tables are intended
to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the
Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules
following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of
the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at May 31, 2020:
| Asset derivatives | ||
|
Risk exposure
category |
Statement
of assets and liabilities location |
Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 15,221,927* |
| Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 59,669,665* |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 1,368,753 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,250,960* |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 108,592* |
| Total | 77,619,897 |
| Liability derivatives | ||
|
Risk exposure
category |
Statement
of assets and liabilities location |
Fair value ($) |
| Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 186,684* |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 22,346,583 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 5,509,694* |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 680,897* |
| Total | 28,723,858 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 34 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
The following table indicates the
effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended May 31, 2020:
| Amount of realized gain (loss) on derivatives recognized in income | ||||||
| Risk exposure category |
Forward
foreign currency exchange contracts ($) |
Futures
contracts ($) |
Options
contracts purchased ($) |
Swap
contracts ($) |
Total
($) |
|
| Credit risk | — | — | — | (21,230,819) | (21,230,819) | |
| Equity risk | — | (40,002,304) | (4,576,352) | — | (44,578,656) | |
| Foreign exchange risk | 35,031,386 | — | — | — | 35,031,386 | |
| Interest rate risk | — | 34,508,655 | — | (102,683) | 34,405,972 | |
| Total | 35,031,386 | (5,493,649) | (4,576,352) | (21,333,502) | 3,627,883 | |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
| Risk exposure category |
Forward
foreign currency exchange contracts ($) |
Futures
contracts ($) |
Swap
contracts ($) |
Total
($) |
||
| Credit risk | — | — | 20,135,687 | 20,135,687 | ||
| Equity risk | — | 79,544,326 | — | 79,544,326 | ||
| Foreign exchange risk | (16,895,855) | — | — | (16,895,855) | ||
| Interest rate risk | — | (12,014,389) | (572,305) | (12,586,694) | ||
| Total | (16,895,855) | 67,529,937 | 19,563,382 | 70,197,464 | ||
The following table is a summary
of the average outstanding volume by derivative instrument for the year ended May 31, 2020:
| Derivative instrument |
Average notional
amounts ($)* |
| Futures contracts — long | 1,634,482,472 |
| Futures contracts — short | 99,360,776 |
| Credit default swap contracts — sell protection | 913,757,644 |
| Derivative instrument |
Average
value ($)** |
| Options contracts — purchased | 1,300,640 |
| Derivative instrument |
Average unrealized
appreciation ($)* |
Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 6,133,904 | (9,528,556) |
| Interest rate swap contracts | 58,630 | (232,157) |
| * | Based on the ending quarterly outstanding amounts for the year ended May 31, 2020. |
| ** | Based on the ending daily outstanding amounts for the year ended May 31, 2020. |
Asset- and mortgage-backed
securities
The Fund may invest in asset-backed
and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion,
of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate
will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
35 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Delayed delivery securities
The Fund may trade securities on
other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may
fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a
To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered.
Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities
Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA
maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Treasury inflation protected
securities
The Fund may invest in treasury
inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded
as interest income in the Statement of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.
Offsetting of assets and
liabilities
The following table presents the
Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of May 31, 2020:
| Citi ($) |
Goldman
Sachs ($) |
HSBC ($) |
Morgan
Stanley ($)(a) |
Morgan
Stanley ($)(a) |
Standard
Chartered ($) |
Total ($) | |
| Assets | |||||||
| Centrally cleared credit default swap contracts (b) | - | - | - | - | 2,171,893 | - | 2,171,893 |
| Forward foreign currency exchange contracts | 98,646 | - | 791,268 | 362,296 | - | 116,543 | 1,368,753 |
| Total assets | 98,646 | - | 791,268 | 362,296 | 2,171,893 | 116,543 | 3,540,646 |
| Liabilities | |||||||
| Centrally cleared credit default swap contracts (b) | - | - | - | - | 25,402,496 | - | 25,402,496 |
| Centrally cleared interest rate swap contracts (b) | - | - | - | - | 35,228 | - | 35,228 |
| Forward foreign currency exchange contracts | 724,394 | 3,274,412 | 8,042,668 | 8,794,594 | - | 1,510,515 | 22,346,583 |
| Total liabilities | 724,394 | 3,274,412 | 8,042,668 | 8,794,594 | 25,437,724 | 1,510,515 | 47,784,307 |
| Total financial and derivative net assets | (625,748) | (3,274,412) | (7,251,400) | (8,432,298) | (23,265,831) | (1,393,972) | (44,243,661) |
| Total collateral received (pledged) (c) | (625,748) | (2,540,000) | - | - | (23,265,831) | (1,067,000) | (27,498,579) |
| Net amount (d) | - | (734,412) | (7,251,400) | (8,432,298) | - | (326,972) | (16,745,082) |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (d) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted
for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
| 36 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Income recognition
Interest income is recorded on an
accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The
Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security
on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security
is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
The Fund may receive distributions
from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts
(REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported.
Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the
extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise
Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a
proportionate change in return of capital to shareholders.
Income and capital gain
distributions from the Underlying Funds, if any, are recorded on the ex-dividend date.
Expenses
General expenses of the Trust are
allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are
charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset
value
All income, expenses (other than
class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on
the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each
year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its
tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other
amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign
taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules
and regulations that exist in the markets in which it invests.
Realized gains in certain countries
may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The
amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
37 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Distributions to shareholders
Distributions from net investment
income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal
income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s
organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition,
certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims
that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Note 3. Fees and other
transactions with affiliates
Management services fees
The Fund has entered into a
Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as
administrative and accounting services. The management services fee is an annual fee that is a blend of (i) a fee that declines from 0.06% to 0.03%, depending on asset levels, on assets invested in affiliated mutual
funds, exchange-traded funds and closed-end funds that pay an investment advisory fee to the Investment Manager, (ii) a fee that declines from 0.16% to 0.13%, depending on asset levels, on assets invested in
exchange-traded funds and mutual funds that are not managed by the Investment Manager or its affiliates and (iii) a fee that declines from 0.76% to 0.63%, depending on asset levels, on assets invested in securities,
instruments and other assets not described above, including affiliated mutual funds, exchange-traded funds and closed-end funds advised by the Investment Manager that do not pay an investment advisory fee, third party
closed-end funds, derivatives and individual securities. The effective management services fee rate for the year ended May 31, 2020 was 0.68% of the Fund’s average daily net assets.
In addition to the fees and
expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the Underlying Funds (also referred to as "acquired funds") in which the Fund invests. Because the
Underlying Funds have varied expense and fee levels and the Fund may own different proportions of Underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Fund will vary.
Compensation of board members
Members of the Board of Trustees
who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. These members of the Board of Trustees
may participate in a Deferred Compensation Plan (the Deferred Plan) which may be terminated at any time. Obligations of the Deferred Plan will be paid solely out of the Fund’s assets, and all amounts payable
under the Deferred Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance
Officer
The Board of Trustees has appointed
a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated
to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transactions with affiliates
For the year ended May 31, 2020,
the Fund engaged in purchase and/or sale transactions with affiliates and/or accounts that have a common investment manager (or affiliated investment managers), common directors/trustees, and/or common officers. Those
purchase and sale transactions complied with provisions of Rule 17a-7 under the 1940 Act and were $0 and $508,364, respectively. The sale transactions resulted in a net realized gain of $12,184.
| 38 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Transfer agency fees
Under a Transfer and Dividend
Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for
providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as
sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a
monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of
accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the
Board of Trustees from time to time.
The Transfer Agent also receives
compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 2 Class and Institutional 3 Class shares are subject to an
annual limitation of not more than 0.07% and 0.02%, respectively, of the average daily net assets attributable to each share class.
For the year ended May 31, 2020,
the Fund’s effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Effective rate (%) | |
| Class A | 0.05 |
| Advisor Class | 0.05 |
| Class C | 0.05 |
| Institutional Class | 0.05 |
| Institutional 2 Class | 0.06 |
| Institutional 3 Class | 0.01 |
| Class R | 0.05 |
An annual minimum account balance
fee of $20 may apply to certain accounts with a value below the applicable share class’s initial minimum investment requirements to reduce the impact of small accounts on transfer agency fees. These minimum
account balance fees are remitted to the Fund and recorded as part of expense reductions in the Statement of Operations. For the year ended May 31, 2020, these minimum account balance fees reduced total expenses of
the Fund by $20.
Distribution and service fees
The Fund has entered into an
agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder
services. The Board of Trustees has approved, and the Fund has adopted, distribution and shareholder service plans (the Plans) applicable to certain share classes, which set the distribution and service fees for the
Fund. These fees are calculated daily and are intended to compensate the Distributor and/or eligible selling and/or servicing agents for selling shares of the Fund and providing services to investors.
Under the Plans, the Fund pays a
monthly service fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class A and Class C shares of the Fund. Also under the Plans, the Fund pays a
monthly distribution fee to the Distributor at the maximum annual rates of 0.10%, 0.75% and 0.50% of the average daily net assets attributable to Class A, Class C and Class R shares of the Fund,
respectively.
Although the Fund may pay
distribution and service fees up to a maximum annual rate of 0.35% of the Fund’s average daily net assets attributable to Class A shares (comprised of up to 0.10% for distribution services and up to 0.25% for
shareholder liaison services), the Fund currently limits such fees to an aggregate fee of not more than 0.25% of the Fund’s average daily net assets attributable to Class A shares.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
39 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Sales charges (unaudited)
Sales charges, including front-end
charges and contingent deferred sales charges (CDSCs), received by the Distributor for distributing Fund shares for the year ended May 31, 2020, if any, are listed below:
| Front End (%) | CDSC (%) | Amount ($) | |
| Class A | 5.75 | 0.50 - 1.00(a) | 553,772 |
| Class C | — | 1.00(b) | 7,091 |
| (a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
| (b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
The Fund’s other share
classes are not subject to sales charges.
Expenses waived/reimbursed by the
Investment Manager and its affiliates
The Investment Manager and certain
of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole
discretion of the Board of Trustees, so that the Fund’s net operating expenses, including indirect expenses of the Underlying Funds, after giving effect to fees waived/expenses reimbursed and any balance credits
and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
Under the agreement governing
these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes
(including foreign transaction taxes), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program
fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This
agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements
described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax
information
The timing and character of
income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At May 31, 2020, these differences
were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, derivative investments, tax straddles, post-October capital losses, re-characterization of
distributions for investments, swap investments, principal and/or interest of fixed income securities, and foreign currency transactions. To the extent these differences were permanent, reclassifications were made
among the components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications
were made:
| 40 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
|
Undistributed net
investment income ($) |
Accumulated
net realized (loss) ($) |
Paid in
capital ($) |
| 36,882,123 | (36,882,123) | — |
Net investment income (loss) and
net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions
paid during the years indicated was as follows:
| Year Ended May 31, 2020 | Year Ended May 31, 2019 | ||||
|
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
Ordinary
income ($) |
Long-term
capital gains ($) |
Total ($) |
| 171,063,896 | 44,725,288 | 215,789,184 | 138,133,761 | 26,205,942 | 164,339,703 |
Short-term capital gain
distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2020, the components of
distributable earnings on a tax basis were as follows:
|
Undistributed
ordinary income ($) |
Undistributed
long-term capital gains ($) |
Capital loss
carryforwards ($) |
Net unrealized
appreciation ($) |
| 31,935,009 | — | — | 33,560,221 |
At May 31, 2020, the cost of all
investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
|
Federal
tax cost ($) |
Gross unrealized
appreciation ($) |
Gross unrealized
(depreciation) ($) |
Net unrealized
appreciation ($) |
| 3,568,573,075 | 67,389,784 | (33,829,563) | 33,560,221 |
Tax cost of investments and
unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss
carryforwards, determined at May 31, 2020, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. In addition, for the year ended May 31,
2020, capital loss carryforwards utilized, if any, were as follows:
|
No expiration
short-term ($) |
No expiration
long-term ($) |
Total ($) | Utilized ($) |
| — | — | — | 36,701,751 |
Under current tax rules, regulated
investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
As of May 31, 2020, the Fund will elect to treat the following late-year ordinary losses and post-October capital losses as arising on June 1, 2020.
|
Late year
ordinary losses ($) |
Post-October
capital losses ($) |
| — | 111,212,926 |
Management of the Fund has
concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at
a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue Service.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
41 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Note 5. Portfolio
information
The cost of purchases and
proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $6,560,704,457 and $6,308,218,960, respectively, for the year ended May 31, 2020, of which $4,907,873,187 and
$4,614,516,722, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money
market fund
The Fund invests in Columbia
Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as
Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a
floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to
as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund
lending
Pursuant to an exemptive order
granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and,
except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject
to certain restrictions.
Interfund loans are subject to the
risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject
to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend
money under the Interfund Program during the year ended May 31, 2020.
Note 8. Line of credit
The Fund has access to a
revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for
other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and
not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the
one-month LIBOR rate and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a
commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement
expires annually in December unless extended or renewed.
The Fund had no borrowings during
the year ended May 31, 2020.
Note 9. Significant
risks
Commodity-related investment
risk
The value of commodities
investments will generally be affected by overall market movements and factors specific to a particular industry or commodity, which may include demand for the commodity, weather, embargoes, tariffs, and economic
health, political, international, regulatory and other developments. Exposure to commodities and commodities markets may subject the value of the Fund’s investments to greater volatility than other types of
investments. Commodities investments
| 42 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
may also subject the Fund to counterparty risk and
liquidity risk. The Fund may make commodity-related investments through one or more wholly-owned subsidiaries organized outside the U.S. that are generally not subject to U.S. laws (including securities laws) and
their protections.
Credit risk
Credit risk is the risk that the
value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations,
such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower rated or unrated debt instruments held by the Fund may
present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative
instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency or
index or other instrument or asset) may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund.
Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging
risk, leverage risk, liquidity risk and pricing risk.
Foreign securities and emerging
market countries risk
Investing in foreign securities may
involve certain risks not typically associated with investing in U.S. securities, such as increased currency volatility and risks associated with political, regulatory, economic, social, diplomatic and other
conditions or events occurring in the country or region, which may result in significant market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging
markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. To the extent that the Fund concentrates its investment exposure to any
one or a few specific countries, the Fund will be particularly susceptible to the risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater
risk than that of a fund that is more geographically diversified.
Interest rate risk
Interest rate risk is the risk of
losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise.
Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative
impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates. The Fund is subject
to the risk that the income generated by its investments may not keep pace with inflation.
Leverage risk
Leverage occurs when the Fund
increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. The use of leverage may produce volatility and may exaggerate changes in the NAV of Fund
shares and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested. Because short sales involve borrowing securities and then selling them, the
Fund’s short sales effectively leverage the Fund’s assets. The Fund’s assets that are used as collateral to secure the Fund’s obligations to return the securities sold short may decrease in
value while the short positions are outstanding, which may force the Fund to use its other assets to increase the collateral. Leverage can create an interest expense that may lower the Fund’s overall returns.
Leverage presents the opportunity for increased net income and capital gains, but may also exaggerate the Fund’s volatility and risk of loss. There can be no guarantee that a leveraging strategy will be
successful.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
43 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Liquidity risk
Liquidity risk is the risk
associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the
interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another,
more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can
lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Market and environment risk
The Fund may incur losses due to
declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or
social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers,
which could adversely affect the Fund, including causing difficulty in assigning prices to hard-to-value assets in thinly traded and closed markets, significant redemptions and operational challenges. Global economies
and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks
may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global
events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could
have a significant negative impact on global economic and market conditions.
The coronavirus disease 2019
(COVID-19) public health crisis has become a pandemic that has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access,
resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions,
workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken
by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness
outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness
outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may
exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a
timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund.
The Investment Manager and its
affiliates have systematically implemented strategies to address the operating environment spurred by the COVID-19 pandemic. To promote the safety and security of its employees and to assure the continuity of its
business operations, the Investment Manager and its affiliates have implemented a work from home protocol for virtually all of its employee population, restricted business travel, and provided resources for complying
with the guidance from the World Health Organization, the U.S. Centers for Disease Control and governments. The Investment Manager’s operations teams seek to operate without significant disruptions in service.
Its pandemic strategy takes into consideration that a pandemic could be widespread and may occur in multiple waves, affecting different communities at different times with varying levels of severity. The Fund cannot,
however, predict the impact that natural or man-made disasters, including the COVID-19 pandemic, may have on the ability of the Investment Manager, its employees and third-party service providers to continue ordinary
business operations and technology functions over near- or longer-term periods.
| 44 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Notes to Financial Statements (continued)
May 31, 2020
May 31, 2020
Non-diversification risk
A non-diversified fund is permitted
to invest a greater percentage of its total assets in fewer issuers than a diversified fund. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of
the Fund more than it would affect that of a diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At May 31, 2020, affiliated
shareholders of record owned 87.9% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the
Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of
less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent
events
Management has evaluated the
events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information
regarding pending and settled legal proceedings
Ameriprise Financial and certain
of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in
connection with the conduct of their business activities. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject
of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with
the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to
Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that
these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe
proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to
uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines,
penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
45 |
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Columbia
Funds Series Trust I and Shareholders of Columbia Adaptive Risk Allocation Fund
Opinion on the Financial
Statements
We have audited the accompanying
statement of assets and liabilities, including the portfolio of investments, of Columbia Adaptive Risk Allocation Fund (one of the funds constituting Columbia Funds Series Trust I, referred to hereafter as the "Fund")
as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes,
and the financial highlights for each of the five years in the period ended May 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly,
in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May
31, 2020 and the financial highlights for each of the five years in the period ended May 31, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the
responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these
financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material
misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not
received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 23, 2020
We have served as the auditor of
one or more investment companies within the Columbia Funds Complex since 1977.
| 46 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Federal Income Tax
Information
(Unaudited)
The Fund hereby designates the
following tax attributes for the fiscal year ended May 31, 2020. Shareholders will be notified in early 2021 of the amounts for use in preparing 2020 income tax returns.
|
Capital
gain dividend |
|
| $46,961,552 |
Capital gain dividend. The Fund
designates as a capital gain dividend the amount reflected above, or if subsequently determined to be different, the net capital gain of such fiscal period.
TRUSTEES AND
OFFICERS
The Board oversees the Fund’s
operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the Fund’s Trustees as
of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth beneath Length of Service
in the table below is the year in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board policy, members serve
terms of indefinite duration.
Independent trustees
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
|
Janet Langford Carrig
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1957 |
Trustee
1996 |
Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 | 67 | Director, EQT Corporation (natural gas producer) |
|
Douglas A. Hacker
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1955 |
Trustee and Chairman of the Board
1996 |
Independent business executive since May 2006; Executive Vice President — Strategy of United Airlines, December 2002-May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 | 67 | Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019 |
|
Nancy T. Lukitsh
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1956 |
Trustee
2011 |
Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007-2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 | 67 | None |
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
47 |
TRUSTEES AND OFFICERS (continued)
Independent trustees (continued)
Independent trustees (continued)
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Fund Complex overseen | Other directorships held by Trustee during the past five years |
|
David M. Moffett
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1952 |
Trustee
2011 |
Retired. Consultant to Bridgewater and Associates | 67 | Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016 |
|
John J. Neuhauser
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1943 |
Trustee
1984 |
President, Saint Michael’s College, August 2007-June 2018; Director or Trustee of several non-profit organizations, including University of Vermont Medical Center; Academic Vice President and Dean of Faculties, Boston College, August 1999-October 2005; University Professor, Boston College, November 2005-August 2007 | 67 | Director, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund (closed-end funds) |
|
Patrick J. Simpson
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Mail Drop BX32 05228 Boston, MA 02110 1944 |
Trustee
2000 |
Of Counsel, Perkins Coie LLP (law firm) since 2015; Partner, Perkins Coie LLP, 1988-2014 | 67 | Former Director, M Fund, Inc. (M Funds mutual fund family), July 2018-July 2019 |
Consultants to the Independent
Trustees*
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
|
J. Kevin Connaughton
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1964 |
Independent Trustee Consultant
2016 |
Independent Trustee Consultant, Columbia Funds since March 2016; Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 | 67 | Director, The Autism Project since March 2015; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017; formerly on Board of Governors, Gateway Healthcare, January 2016 – December 2017 |
| 48 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
TRUSTEES AND OFFICERS (continued)
Consultants to the Independent Trustees* (continued)
Consultants to the Independent Trustees* (continued)
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
|
Olive Darragh
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street, Mail Drop BX32 05228, Boston, MA 02110 1962 |
Independent Trustee Consultant 2019 | Independent Trustee Consultant, Columbia Funds since June 2019; Managing Director of Darragh Inc. (a strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company, 2001-2004 | 67 | Former Director, University of Edinburgh Business School; former Director, Boston Public Library Foundation |
|
Natalie A. Trunow
c/o Columbia Management Investment Advisers, LLC, 225 Franklin Street Mail Drop BX32 05228, Boston, MA 02110 1967 |
Independent Trustee Consultant
2016 |
Independent Trustee Consultant, Columbia Funds since September 2016; Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services) since January 2016; Non-executive Member of the Investment Committee, Sarona Asset Management, Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services) since August 2018; Advisor, Paradigm Asset Management since November 2016; Director of Investments, Casey Family Programs, April 2016-September 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 | 67 | Director, Health Services for Children with Special Needs, Inc.; Director, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions) |
| * | J. Kevin Connaughton was appointed consultant to the Independent Trustees effective March 1, 2016. Natalie A. Trunow was appointed consultant to the Independent Trustees effective September 1, 2016. Olive Darragh was appointed consultant to the Independent Trustees effective June 10, 2019. |
Interested trustee affiliated with
Investment Manager*
| Name, address, year of birth | Position held with the Trust and length of service | Principal occupation(s) during the past five years and other relevant professional experience | Number of Funds in the Columbia Funds Complex overseen | Other directorships held by Trustee during the past five years |
|
William F. Truscott
c/o Columbia Management Investment Advisers, LLC 225 Franklin Street Boston, MA 02110 1960 |
Trustee
2012 |
Chief Executive Officer, Global Asset Management, Ameriprise Financial, Inc. since September 2012; Chairman of the Board and President, Columbia Management Investment Advisers, LLC since July 2004 and February 2012, respectively; Chairman of the Board and Chief Executive Officer, Columbia Management Investment Distributors, Inc. since November 2008 and February 2012, respectively; Chairman of the Board and Director, Threadneedle Asset Management Holdings, Sàrl since March 2013 and December 2008, respectively; senior executive of various entities affiliated with Columbia Threadneedle | 164 | Trustee, Columbia Funds since November 2001 |
| * | Interested person (as defined under the 1940 Act) by reason of being an officer, director, security holder and/or employee of the Investment Manager or Ameriprise Financial. |
The Statement of Additional
Information has additional information about the Fund’s Board members and is available, without charge, upon request by calling 800.345.6611, visiting columbiathreadneedleus.com/investor/ or contacting your
financial intermediary.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
49 |
TRUSTEES AND OFFICERS (continued)
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
The Board has appointed officers who are responsible for day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The following table provides basic information about the Officers of the Fund as of the printing of this report, including principal occupations during the past five years, although their specific titles may have varied over the period. In addition to Mr. Truscott, who is Senior Vice President, the Fund’s other officers are:
Fund officers
|
Name,
address and year of birth |
Position and year
first appointed to position for any Fund in the Columbia Funds complex or a predecessor thereof |
Principal occupation(s) during past five years |
|
Christopher O. Petersen
5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1970 |
President and Principal Executive Officer (2015) | Vice President and Lead Chief Counsel, Ameriprise Financial, Inc. since January 2015 (previously, Vice President and Chief Counsel, January 2010 - December 2014; officer of Columbia Funds and affiliated funds since 2007. |
|
Michael G. Clarke
225 Franklin Street Boston, MA 02110 Born 1969 |
Chief Financial Officer, Principal Financial Officer (2009), and Senior Vice President (2019) | Vice President — Accounting and Tax, Columbia Management Investment Advisers, LLC, since May 2010; senior officer of Columbia Funds and affiliated funds since 2002 (previously, Treasurer and Chief Accounting Officer, January 2009-December 2018 and December 2015-December 2018, respectively). |
|
Joseph Beranek
5890 Ameriprise Financial Center Minneapolis, MN 55474 Born 1965 |
Treasurer, Chief Accounting Officer (Principal Accounting Officer) (2019), and Principal Financial Officer (2020) | Vice President — Mutual Fund Accounting and Financial Reporting, Columbia Management Investment Advisers, LLC, since December 2018 and March 2017, respectively (previously, Vice President — Pricing and Corporate Actions, May 2010-March 2017). |
|
Paul B. Goucher
100 Park Avenue New York, NY 10017 Born 1968 |
Senior Vice President (2011) and Assistant Secretary (2008) | Senior Vice President and Assistant General Counsel, Ameriprise Financial, Inc. since January 2017 (previously, Vice President and Lead Chief Counsel, November 2008 - January 2017 and January 2013 - January 2017, respectively); Vice President, Chief Legal Officer and Assistant Secretary, Columbia Management Investment Advisers, LLC since May 2010. |
|
Thomas P. McGuire
225 Franklin Street Boston, MA 02110 Born 1972 |
Senior Vice President and Chief Compliance Officer (2012) | Vice President — Asset Management Compliance, Ameriprise Financial, Inc., since May 2010; Chief Compliance Officer, Ameriprise Certificate Company since September 2010; Chief Compliance Officer, Columbia Acorn/Wanger Funds since December 2015. |
|
Colin Moore
225 Franklin Street Boston, MA 02110 Born 1958 |
Senior Vice President (2010) | Executive Vice President and Global Chief Investment Officer, Ameriprise Financial, Inc., since July 2013; Executive Vice President and Global Chief Investment Officer, Columbia Management Investment Advisers, LLC since July 2013. |
|
Ryan C. Larrenaga
225 Franklin Street Boston, MA 02110 Born 1970 |
Senior Vice President (2017), Chief Legal Officer (2017), and Secretary (2015) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since August 2018 (previously, Vice President and Group Counsel, August 2011 - August 2018); officer of Columbia Funds and affiliated funds since 2005. |
|
Daniel J. Beckman
225 Franklin Street Boston, MA 02110 Born 1962 |
Senior Vice President (2020) | Vice President – Head of North America Product, Columbia Management Investment Advisers, LLC (since April 2015); previously, Senior Vice President of Investment Product Management, Fidelity Financial Advisor Solutions, a division of Fidelity Investments (January 2012 – March 2015). |
|
Michael E. DeFao
225 Franklin Street Boston, MA 02110 Born 1968 |
Vice President (2011) and Assistant Secretary (2010) | Vice President and Chief Counsel, Ameriprise Financial, Inc. since May 2010. |
|
Lyn Kephart-Strong
5228 Ameriprise Financial Center Minneapolis, MN 55474 Born 1960 |
Vice President (2015) | President, Columbia Management Investment Services Corp. since October 2014; Vice President & Resolution Officer, Ameriprise Trust Company since August 2009. |
| 50 | Columbia Adaptive Risk Allocation Fund | Annual Report 2020 |
Liquidity Risk
Management Program
Pursuant to Rule 22e-4 under the
1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity
risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the
Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board
meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018,
through December 31, 2019, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the
Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an
investment in the Fund may be subject.
|
Columbia Adaptive Risk Allocation Fund | Annual Report 2020
|
51 |
Columbia Adaptive Risk Allocation Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the
investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments
(Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2020 Columbia Management Investment
Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN214_05_K01_(07/20)
Item 2. Code of Ethics.
(a)The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b)During the period covered by this report, there were not any amendments to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item.
(c)During the period covered by this report, there were no waivers, including any implicit waivers, from a provision of the code of ethics to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party that relates to one or more of the items set forth in paragraph (b) of this Item.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that Douglas A. Hacker and David M. Moffett, each of whom are members of the registrant's Board of Trustees and Audit Committee, each qualify as an audit committee financial expert. Mr. Hacker and Mr. Moffett are each independent trustees, as defined in paragraph (a)(2) of this item's instructions.
Item 4. Principal Accountant Fees and Services.
Fee information below is disclosed for the four series of the registrant whose report to stockholders are included in this annual filing.
(a)Audit Fees. Aggregate Audit Fees billed by the principal accountant for professional services rendered during the fiscal years ended May 31, 2020 and May 31, 2019 are approximately as follows:
|
2020 |
2019 |
|
$162,000 |
$154,300 |
Audit Fees include amounts related to the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b)Audit-Related Fees. Aggregate Audit-Related Fees billed to the registrant by the principal accountant for professional services rendered during the fiscal years ended May 31, 2020 and May 31, 2019 are approximately as follows:
|
2020 |
2019 |
|
$1,500 |
$17,500 |
Audit-Related Fees include amounts for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported in Audit Fees above.
During the fiscal years ended May 31, 2020 and May 31, 2019, there were no Audit- Related Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(c)Tax Fees. Aggregate Tax Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended May 31, 2020 and May 31,
2019 are approximately as follows:
|
2020 |
2019 |
|
$3,000 |
$32,000 |
Tax Fees include amounts for the review of annual tax returns, the review of required shareholder distribution calculations and typically include amounts for professional services by the principal accountant for tax compliance, tax advice and tax planning. Fiscal Year 2019 also includes Tax Fees for agreed-upon procedures related to a fund liquidation and a final tax return.
During the fiscal years ended May 31, 2020 and May 31, 2019, there were no Tax Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant.
(d)All Other Fees. Aggregate All Other Fees billed by the principal accountant to the registrant for professional services rendered during the fiscal years ended May 31, 2020 and May 31, 2019 are approximately as follows:
|
2020 |
2019 |
|
$0 |
$0 |
All Other Fees include amounts for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) above.
Aggregate All Other Fees billed by the registrant's principal accountant to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for an engagement that related directly to the operations and financial reporting of the registrant during the fiscal years ended May 31,
2020 and May 31, 2019 are approximately as follows:
|
2020 |
2019 |
|
$225,000 |
$235,000 |
In fiscal years 2020 and 2019, All Other Fees primarily consists of fees billed for internal control examinations of the registrant's transfer agent and investment adviser.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The registrant's Audit Committee is required to pre-approve the engagement of the
registrant's independent auditors to provide audit and non-audit services to the registrant and non-audit services to its investment adviser (excluding any sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser (the "Adviser") or any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (a "Control Affiliate") if the engagement relates directly to the operations and financial reporting of the registrant.
The Audit Committee has adopted a Policy for Engagement of Independent Auditors for Audit and Non-Audit Services (the "Policy"). The Policy sets forth the understanding of the Audit Committee regarding the engagement of the registrant's independent accountants to provide (i) audit and permissible audit-related, tax and other services to the registrant ("Fund Services"); (ii) non-audit services to the registrant's Adviser and any Control Affiliates, that relates directly to the operations and financial reporting of a Fund ("Fund-related Adviser Services"); and (iii) certain other audit and non-audit services to the registrant's Adviser and its Control Affiliates. A service will require specific pre-approval by the Audit Committee if it is to be provided by the Fund's independent auditor; provided, however, that pre-approval of non-audit services to the Fund, the Adviser or Control Affiliates may be waived if certain de minimis requirements set forth in the SEC's rules are met.
Under the Policy, the Audit Committee may delegate pre-approval authority to any pre- designated member or members who are independent board members. The member(s) to whom such authority is delegated must report, for informational purposes only, any pre- approval decisions to the Audit Committee at its next regular meeting. The Audit Committee's responsibilities with respect to the pre-approval of services performed by the independent auditor may not be delegated to management.
On an annual basis, at a regularly scheduled Audit Committee meeting, the Fund's Treasurer or other Fund officer shall submit to the Audit Committee a schedule of the types of Fund Services and Fund-related Adviser Services that are subject to specific pre- approval. This schedule will provide a description of each type of service that is subject to specific pre-approval, along with total projected fees for each service. The pre- approval will generally cover a one-year period. The Audit Committee will review and approve the types of services and the projected fees for the next one-year period and may add to, or subtract from, the list of pre-approved services from time to time, based on subsequent determinations. This specific approval acknowledges that the Audit Committee is in agreement with the specific types of services that the independent auditor will be permitted to perform and the projected fees for each service.
The Fund's Treasurer or other Fund officer shall report to the Audit Committee at each of its regular meetings regarding all Fund Services or Fund-related Adviser Services provided since the last such report was rendered, including a description of the services, by category, with forecasted fees for the annual reporting period, proposed changes requiring specific pre-approval and a description of services provided by the independent auditor, by category, with actual fees during the current reporting period.
*****
(e)(2) None, or 0%, of the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund or affiliated entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
(f)Not applicable.
(g)The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant during the fiscal years ended May 31, 2020 and May 31, 2019 are approximately as follows:
|
2020 |
2019 |
|
$229,500 |
$284,500 |
(h)The registrant's Audit Committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the registrant's adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
(a)The registrant's "Schedule I – Investments in securities of unaffiliated issuers" (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR.
(b)Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
(a)The registrant's principal executive officer and principal financial officer, based on their evaluation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant's management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b)There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(3) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
|
authorized. |
|
|
||
|
(registrant) |
|
Columbia Funds Series Trust I |
|
|
|
By (Signature and Title) |
/s/ Christopher O. Petersen |
|||
|
|
|
|
Christopher O. Petersen, President and Principal Executive Officer |
|
|
Date |
|
July 23, 2020 |
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By (Signature and Title) |
/s/ Christopher O. Petersen |
|||
|
|
|
Christopher O. Petersen, President and Principal Executive Officer |
||
|
Date |
|
July 23, 2020 |
|
|
|
By (Signature and Title) |
/s/ Michael G. Clarke |
|||
|
|
|
Michael G. Clarke, Chief Financial Officer, Principal Financial Officer |
||
|
|
|
and Senior Vice President |
||
|
Date |
|
July 23, 2020 |
|
|
|
By (Signature and Title) |
/s/ Joseph Beranek |
|||
|
|
|
Joseph Beranek, Treasurer, Chief Accounting Officer and Principal |
||
|
|
|
Financial Officer |
||
|
Date |
|
July 23, 2020 |
|
|
